This function is called by optimize.portfolio to solve maximum return problems via mixed integer linear programming.
maxret_milp_opt(
R,
constraints,
moments,
target,
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
solver to use
list of solver control parameters
Ross Bennett