set.portfolio.moments_v1

set portfolio moments for use by lower level optimization functions

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

set.portfolio.moments_v1 function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns</dd>
<dt>constraints</dt>
<dd>an object of type "constraints" specifying the constraints for the optimization, see <code>constraint</code></dd>
<dt>momentargs</dt>
<dd>list containing arguments to be passed down to lower level functions, default NULL</dd>
<dt>...</dt>
<dd>any other passthru parameters
FIXME NOTE: this isn't perfect as it overwrites the moments for all objectives, not just one with clean='boudt'</dd></dl>

Arguments

set portfolio moments for use by lower level optimization functions — set.portfolio.moments_v1

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns</dd>


<dt>constraints</dt>
<dd>an object of type "constraints" specifying the constraints for the optimization, see <code>constraint</code></dd>


<dt>momentargs</dt>
<dd>list containing arguments to be passed down to lower level functions, default NULL</dd>


<dt>...</dt>
<dd>any other passthru parameters
FIXME NOTE: this isn't perfect as it overwrites the moments for all objectives, not just one with clean='boudt'</dd>

</dl>

set portfolio moments for use by lower level optimization functions

set.portfolio.moments_v1: set portfolio moments for use by lower level optimization functions

Description

Usage

Arguments