PortfolioAnalytics (version 2.0.0)

portfolio_risk_objective: constructor for class portfolio_risk_objective

Description

if target is null, we'll try to minimize the risk metric

Usage

portfolio_risk_objective(
  name,
  target = NULL,
  arguments = NULL,
  multiplier = 1,
  enabled = TRUE,
  ...
)

Value

object of class 'portfolio_risk_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

Author

Brian G. Peterson