PortfolioAnalytics (version 2.0.0)

minmax_objective: constructor for class tmp_minmax_objective

Description

This objective allows for min and max targets to be specified.

Usage

minmax_objective(
  name,
  target = NULL,
  arguments = NULL,
  multiplier = 1,
  enabled = TRUE,
  ...,
  min,
  max
)

Value

object of class 'minmax_objective'

Arguments

name

name of the objective, should correspond to a function, though we will try to make allowances

target

univariate target for the objective

arguments

default arguments to be passed to an objective function when executed

multiplier

multiplier to apply to the objective, usually 1 or -1

enabled

TRUE/FALSE

...

any other passthru parameters

min

minimum value

max

maximum value

Author

Ross Bennett

Details

If target is set, we'll try to meet the metric

If target is NULL and min and max are specified, then do the following:

If max is violated to the upside, penalize the metric. If min is violated to the downside, penalize the metric. The purpose of this objective is to try to meet the range between min and max