constructor for class risk_budget_objective
risk_budget_objective(
assets,
name,
target = NULL,
arguments = NULL,
multiplier = 1,
enabled = TRUE,
...,
min_prisk,
max_prisk,
min_concentration = FALSE,
min_difference = FALSE
)
object of class 'risk_budget_objective'
vector of assets to use, should come from constraints object
name of the objective, should correspond to a function, though we will try to make allowances
univariate target for the objective
default arguments to be passed to an objective function when executed
multiplier to apply to the objective, usually 1 or -1
TRUE/FALSE
any other passthru parameters
minimum percentage contribution to risk
maximum percentage contribution to risk
TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL
TRUE/FALSE whether to minimize difference between concentration, default FALSE
Brian G. Peterson