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PortfolioAnalytics (version 2.0.0)

gmv_opt: GMV/QU QP Optimization

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems

Usage

gmv_opt(
  R,
  constraints,
  moments,
  lambda,
  target,
  lambda_hhi,
  conc_groups,
  solver = "quadprog",
  control = NULL
)

Arguments

R

xts object of asset returns

constraints

object of constraints in the portfolio object extracted with get_constraints

moments

object of moments computed based on objective functions

lambda

risk_aversion parameter

target

target return value

lambda_hhi

concentration aversion parameter

conc_groups

list of vectors specifying the groups of the assets.

solver

solver to use

control

list of solver control parameters

Author

Ross Bennett