risk_budget_objective

vector of assets to use, should come from constraints object

assets

name of the objective, should correspond to a function, though we will try to make allowances

name

univariate target for the objective

target

default arguments to be passed to an objective function when executed

arguments

multiplier to apply to the objective, usually 1 or -1

multiplier

enabled

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minimum percentage contribution to risk

min_prisk

maximum percentage contribution to risk

max_prisk

TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL

min_concentration

TRUE/FALSE whether to minimize difference between concentration, default FALSE

min_difference

constructor for class risk_budget_objective

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

risk_budget_objective function

<dl><dt>assets</dt>
<dd>vector of assets to use, should come from constraints object</dd>
<dt>name</dt>
<dd>name of the objective, should correspond to a function, though we will try to make allowances</dd>
<dt>target</dt>
<dd>univariate target for the objective</dd>
<dt>arguments</dt>
<dd>default arguments to be passed to an objective function when executed</dd>
<dt>multiplier</dt>
<dd>multiplier to apply to the objective, usually 1 or -1</dd>
<dt>enabled</dt>
<dd>TRUE/FALSE</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd>
<dt>min_prisk</dt>
<dd>minimum percentage contribution to risk</dd>
<dt>max_prisk</dt>
<dd>maximum percentage contribution to risk</dd>
<dt>min_concentration</dt>
<dd>TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL</dd>
<dt>min_difference</dt>
<dd>TRUE/FALSE whether to minimize difference between concentration, default FALSE</dd></dl>

Arguments

Author

constructor for class risk_budget_objective — risk_budget_objective

<dl>

<dt>assets</dt>
<dd>vector of assets to use, should come from constraints object</dd>


<dt>name</dt>
<dd>name of the objective, should correspond to a function, though we will try to make allowances</dd>


<dt>target</dt>
<dd>univariate target for the objective</dd>


<dt>arguments</dt>
<dd>default arguments to be passed to an objective function when executed</dd>


<dt>multiplier</dt>
<dd>multiplier to apply to the objective, usually 1 or -1</dd>


<dt>enabled</dt>
<dd>TRUE/FALSE</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>


<dt>min_prisk</dt>
<dd>minimum percentage contribution to risk</dd>


<dt>max_prisk</dt>
<dd>maximum percentage contribution to risk</dd>


<dt>min_concentration</dt>
<dd>TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL</dd>


<dt>min_difference</dt>
<dd>TRUE/FALSE whether to minimize difference between concentration, default FALSE</dd>

</dl>

risk_budget_objective: constructor for class risk_budget_objective

Description

Usage

Value

Arguments

Author