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