hyperSharperQ {hetGP}R Documentation

Hypervolume Sharpe ratio return and covariance

Description

Hypervolume Sharpe ratio return and covariance

Usage

hyperSharperQ(A, l, u)

Arguments

A

matrix of assets, in R^p

l, u

vector of lower and upper bounds in R^p

Value

list with the return vector r and the covariance Q.

References

A. P. Guerreiro, C. M. Fonseca, Hypervolume Sharpe-Ratio indicator: Formalization and first theoretical results, International Conference on Parallel Problem Solving from Nature, 2016, 814-823.

Examples

################################################################################
### 2 objectives example
################################################################################
A <- matrix(runif(20*2),20)
res <- hyperSharperQ(A = A, l = c(0,0), u = c(1,1))
plot(A, pch = 20, xlim = c(0,1), ylim = c(0,1))

[Package hetGP version 1.1.8 Index]