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fPortfolio (version 4023.84)

solve-environment: Nonlinear Objective Presettings

Description

Prests variables for Data, portfolioObjective, portfolioReturn, and portfolioRisk in the case of NL math programming of portfolios.

Usage

Data
portfolioObjective(weights)
portfolioReturn(weights)
portfolioRisk(weights)

Arguments

weights

a vector of portfolio weights

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.