turnover_objective

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

&#8230;

if target is null, we'll try to minimize the turnover metric

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

turnover_objective function

<dl><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></dl>

Arguments

Author

constructor for class turnover_objective — turnover_objective

<dl>

<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>

</dl>

turnover_objective: constructor for class turnover_objective

Description

Usage

Value

Arguments

Author

Details