hyperSharpeMax {hetGP} | R Documentation |
Hypervolume Sharpe ratio maximization
Description
Hypervolume Sharpe ratio maximization
Usage
hyperSharpeMax(A, l, u, eps = sqrt(.Machine$double.eps))
Arguments
A |
matrix of assets, in R^p |
l , u |
vector of lower and upper bounds in R^p |
eps |
jitter used in the inversion of the covariance matrix for numerical stability |
Value
list with the allocation vector a, corresponding Sharpe ratio value, return vector r and the covariance Q.
References
A. P. Guerreiro, C. M. Fonseca, Hypervolume Sharpe-Ratio indicator: Formalization and first theoretical results, International Conference on Parallel Problem Solving from Nature, 2016, 814-823.
Examples
################################################################################
### 2 objectives example
################################################################################
set.seed(42)
nA <- 20 # Number of assets
p <- 2 # Number of objectives
A <- matrix(runif(nA * p), nA)
sol <- hyperSharpeMax(A = A, l = c(0, 0), u = c(1, 1))
plot(A, pch = 20, xlim = c(0, 1), ylim = c(0, 1))
points(A[which(sol$par > 1e-6),,drop = FALSE], col = 2)
[Package hetGP version 1.1.8 Index]