PortfolioAnalytics (version 2.1.0)

risk_budget_objective: constructor for class risk_budget_objective

Description

constructor for class risk_budget_objective

Usage

risk_budget_objective(
  assets,
  name,
  target = NULL,
  arguments = NULL,
  multiplier = 1,
  enabled = TRUE,
  ...,
  min_prisk,
  max_prisk,
  min_concentration = FALSE,
  min_difference = FALSE
)

Value

object of class 'risk_budget_objective'

Arguments

assets

vector of assets to use, should come from constraints object

name

name of the objective, should correspond to a function, though we will try to make allowances

target

univariate target for the objective

arguments

default arguments to be passed to an objective function when executed

multiplier

multiplier to apply to the objective, usually 1 or -1

enabled

TRUE/FALSE

...

any other passthru parameters

min_prisk

minimum percentage contribution to risk

max_prisk

maximum percentage contribution to risk

min_concentration

TRUE/FALSE whether to minimize concentration, default FALSE, always TRUE if min_prisk and max_prisk are NULL

min_difference

TRUE/FALSE whether to minimize difference between concentration, default FALSE

Author

Brian G. Peterson