quadratic_utility_objective

This function calls <code>return_objective</code> and <code>portfolio_risk_objective</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

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

quadratic_utility_objective function

<dl><dt>risk_aversion</dt>
<dd>risk_aversion (i.e. lambda) parameter to penalize variance</dd>
<dt>target</dt>
<dd>target mean return value</dd>
<dt>enabled</dt>
<dd>TRUE/FALSE, default enabled=TRUE</dd></dl>

Arguments

Author

constructor for quadratic utility objective — quadratic_utility_objective

<dl>

<dt>risk_aversion</dt>
<dd>risk_aversion (i.e. lambda) parameter to penalize variance</dd>


<dt>target</dt>
<dd>target mean return value</dd>


<dt>enabled</dt>
<dd>TRUE/FALSE, default enabled=TRUE</dd>

</dl>

constructor for quadratic utility objective

quadratic_utility_objective: constructor for quadratic utility objective

Description

Usage

Value

Arguments

Author