PortfolioAnalytics (version 1.0.3636)

gmv_opt: GMV/QU QP Optimization

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems

Usage

gmv_opt(R, constraints, moments, lambda, target, lambda_hhi, conc_groups, solver = "quadprog", 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

lambda

risk_aversion parameter

target

target return value

lambda_hhi

concentration aversion parameter

conc_groups

list of vectors specifying the groups of the assets.

solver

solver to use

control

list of solver control parameters