This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with a leverage constraint
gmv_opt_leverage(
R,
constraints,
moments,
lambda,
target,
solver = "quadprog",
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
risk_aversion parameter
target return value
solver to use
list of solver control parameters
Ross Bennett