gmv_opt_leverage: GMV/QU QP Optimization with Turnover Constraint
Description
This function is called by optimize.portfolio to solve minimum variance or
maximum quadratic utility problems with a leverage constraint
Usage
gmv_opt_leverage(R, constraints, moments, lambda, target, 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
control
list of solver control parameters