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PortfolioAnalytics (version 2.0.0)

maxret_opt: Maximum Return LP Optimization

Description

This function is called by optimize.portfolio to solve maximum return

Usage

maxret_opt(R, moments, constraints, target, solver = "glpk", control = NULL)

Arguments

R

xts object of asset returns

moments

object of moments computed based on objective functions

constraints

object of constraints in the portfolio object extracted with get_constraints

target

target return value

solver

solver to use

control

list of solver control parameters

Author

Ross Bennett