PortfolioAnalytics (version 1.0.3636)

gmv_opt_ptc: GMV/QU QP Optimization with Proportional Transaction Cost Constraint

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with proportional transaction cost constraint

Usage

gmv_opt_ptc(R, constraints, moments, lambda, target, init_weights, 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

init_weights

initial weights to compute turnover

solver

solver to use

control

list of solver control parameters