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
control
list of solver control parameters
