This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems
gmv_opt(
R,
constraints,
moments,
lambda,
target,
lambda_hhi,
conc_groups,
solver = "quadprog",
control = NULL
)xts object of asset returns
object of constraints in the portfolio object extracted with get_constraints
object of moments computed based on objective functions
risk_aversion parameter
target return value
concentration aversion parameter
list of vectors specifying the groups of the assets.
solver to use
list of solver control parameters
Ross Bennett