This function is called by optimize.portfolio to solve minimum ETL problems via mixed integer linear programming.
etl_milp_opt(
R,
constraints,
moments,
target,
alpha,
solver = "glpk",
control = NULL
)xts object of asset returns
object of constraints in the portfolio object extracted with get_constraints
object of moments computed based on objective functions
target return value
alpha value for ETL/ES/CVaR
solver to use
list of solver control parameters
Ross Bennett