objective {portfolio.optimization} | R Documentation |
objective
sets a new objective for VaR and Expected Shortfall
objective(model, objective = "markowitz")
model |
the portfolio.model to be changed |
objective |
the new objective |
the adapted portfolio.model
Ronald Hochreiter, ronald@algorithmic.finance
data(sp100w17av30s) model <- portfolio.model(scenario.set) mad <- optimal.portfolio(objective(model, "mad"))