constructor for class constraint_ROI
constraint_ROI(
assets = NULL,
op.problem,
solver = c("glpk", "quadprog"),
weight_seq = NULL
)
number of assets, or optionally a named vector of assets specifying seed weights
an object of type "OP" (optimization problem, of ROI
) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.
string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for glpk
and quadprog
.
seed sequence of weights, see generatesequence
Hezky Varon