maxret_opt

This function is called by optimize.portfolio to solve maximum return

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

maxret_opt function

<dl><dt>R</dt>
<dd>xts object of asset returns</dd>
<dt>moments</dt>
<dd>object of moments computed based on objective functions</dd>
<dt>constraints</dt>
<dd>object of constraints in the portfolio object extracted with <code>get_constraints</code></dd>
<dt>target</dt>
<dd>target return value</dd>
<dt>solver</dt>
<dd>solver to use</dd>
<dt>control</dt>
<dd>list of solver control parameters</dd></dl>

Arguments

Author

Maximum Return LP Optimization — maxret_opt

<dl>

<dt>R</dt>
<dd>xts object of asset returns</dd>


<dt>moments</dt>
<dd>object of moments computed based on objective functions</dd>


<dt>constraints</dt>
<dd>object of constraints in the portfolio object extracted with <code>get_constraints</code></dd>


<dt>target</dt>
<dd>target return value</dd>


<dt>solver</dt>
<dd>solver to use</dd>


<dt>control</dt>
<dd>list of solver control parameters</dd>

</dl>

Maximum Return LP Optimization

maxret_opt: Maximum Return LP Optimization

Description

Usage

Arguments

Author