objective function

Set new objective of a portfolio.model

objective sets a new objective for VaR and Expected Shortfall

objective(model, objective = "markowitz")

Arguments

• model: the portfolio.model to be changed
• objective: the new objective

Returns

the adapted portfolio.model

Examples

data(sp100w17av30s)
model <- portfolio.model(scenario.set)
mad <- optimal.portfolio(objective(model, "mad"))

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance