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PortfolioAnalytics (version 1.0.3636)

etl_milp_opt: Minimum ETL MILP Optimization

Description

This function is called by optimize.portfolio to solve minimum ETL problems via mixed integer linear programming.

Usage

etl_milp_opt(R, constraints, moments, target, alpha, solver = "glpk", control = NULL)

Arguments

R
xts object of asset returns
constraints
object of constraints in the portfolio object extracted with get_constraints
moments
object of moments computed based on objective functions
target
target return value
alpha
alpha value for ETL/ES/CVaR
solver
solver to use
control
list of solver control parameters