PortfolioAnalytics (version 1.1.0)

etl_opt: Minimum ETL LP Optimization

Description

This function is called by optimize.portfolio to solve minimum ETL problems.

Usage

etl_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

solver

solver to use

control

list of solver control parameters