.ZI_projection {PortfolioOptim} | R Documentation |
Computes
the solution of the linear program
\min c^{T} x
for Ax = b
, x \ge 0
Description
which fulfills the condition |B(x - xhat)|^2 \to \min
Usage
.ZI_projection(clin, Amat, bmat, xhat, B, maxiter, tol, k)
Arguments
clin |
g |
Amat |
g |
bmat |
g |
xhat |
g |
B |
g |
maxiter |
g |
tol |
g |
k |
g |
Value
list
[Package PortfolioOptim version 1.1.1 Index]