quadratic_utility_objective

risk_aversion (i.e. lambda) parameter to penalize variance

risk_aversion

target

enabled

This function calls <code><a rd-options="" href="/link/return_objective?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::return_objective">return_objective</a></code> and <code><a rd-options="" href="/link/portfolio_risk_objective?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::portfolio_risk_objective">portfolio_risk_objective</a></code>
to create a list of the objectives to be added to the portfolio.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

quadratic_utility_objective function

This function calls <code><a rd-options='' href='return_objective'>return_objective</a></code> and <code><a rd-options='' href='portfolio_risk_objective'>portfolio_risk_objective</a></code>
to create a list of the objectives to be added to the portfolio.

constructor for quadratic utility objective — quadratic_utility_objective

constructor for quadratic utility objective

quadratic_utility_objective: constructor for quadratic utility objective

Description

Usage

Arguments

Value