maxret_opt: Maximum Return LP Optimization
Description
This function is called by optimize.portfolio to solve maximum return
Usage
maxret_opt(R, moments, constraints, target, 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
control
list of solver control parameters