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PortfolioAnalytics (version 2.0.0)

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

Author

Ross Bennett