quadratic_utility_objective: constructor for quadratic utility objective
Description
This function calls return_objective
and portfolio_risk_objective
to create a list of the objectives to be added to the portfolio.
Usage
quadratic_utility_objective(risk_aversion = 1, target = NULL, enabled = TRUE)
Value
a list of two elements
return_objective
portfolio_risk_objective
Arguments
- risk_aversion
risk_aversion (i.e. lambda) parameter to penalize variance
- target
target mean return value
- enabled
TRUE/FALSE, default enabled=TRUE