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fix for CVXR::pos
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R/optimize.portfolio.R

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -2933,12 +2933,12 @@ optimize.portfolio <- optimize.portfolio_v2 <- function(
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}
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if(EQSratio){
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# max EQS ratio
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obj <- zeta + (1/(alpha * T)) * sum(pos(square(pos(X %*% wts)) - zeta))
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obj <- zeta + (1/(alpha * T)) * sum(CVXR::pos(square(CVXR::pos(X %*% wts)) - zeta))
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constraints_cvxr = list(t(mean_value) %*% wts == 1, sum(wts) >= 0)
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tmpname = "EQS ratio"
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} else {
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# min EQS
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obj <- zeta + (1/(alpha * T)) * sum(pos(square(pos(X %*% wts)) - zeta))
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obj <- zeta + (1/(alpha * T)) * sum(CVXR::pos(square(CVXR::pos(X %*% wts)) - zeta))
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constraints_cvxr <- list()
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tmpname = "EQS"
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}

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