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]