fPortfolio (version 3042.83.1)

solve-environment: Nonlinear Objective Presettings

Description

Prests variables for Data, portfolioObjective, portfolioReturn, and portfolioRisk in the case of NL math programming of portfolios.

Usage

Data

portfolioObjective(weights) portfolioReturn(weights) portfolioRisk(weights)

Arguments

weights

a vector of portfolio weights

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.