Luis Felipe Parra
2011-Jan-26 02:44 UTC
[R] Defining and objective function in fPortfolio package
Hello I am using the fPortfolio package and I see there is the option in the model slot "objRisk" which permits the user to define its own objective function. I have the ebook Portfolio Optimization with Rmetrics and there it says examples on this option are on the advanced version of the book, which I looked on the Rmetrics webpage and apparently it doesn't exist yet. Does anybody have an example or knows where can I find an example of the usage of this option? How can I define my own objective function to optimize? Thank you Felipe Parra [[alternative HTML version deleted]]