We read every piece of feedback, and take your input very seriously.
To see all available qualifiers, see our documentation.
1 parent 54ff637 commit 1515afeCopy full SHA for 1515afe
R/optimize.portfolio.R
@@ -2933,12 +2933,12 @@ optimize.portfolio <- optimize.portfolio_v2 <- function(
2933
}
2934
if(EQSratio){
2935
# max EQS ratio
2936
- obj <- zeta + (1/(alpha * T)) * sum(pos(square(pos(X %*% wts)) - zeta))
+ obj <- zeta + (1/(alpha * T)) * sum(CVXR::pos(square(CVXR::pos(X %*% wts)) - zeta))
2937
constraints_cvxr = list(t(mean_value) %*% wts == 1, sum(wts) >= 0)
2938
tmpname = "EQS ratio"
2939
} else {
2940
# min EQS
2941
2942
constraints_cvxr <- list()
2943
tmpname = "EQS"
2944
0 commit comments