hyperSharperQ {hetGP} | R Documentation |
Hypervolume Sharpe ratio return and covariance
Description
Hypervolume Sharpe ratio return and covariance
Usage
hyperSharperQ(A, l, u)
Arguments
A |
matrix of assets, in R^p |
l , u |
vector of lower and upper bounds in R^p |
Value
list with the 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
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### 2 objectives example
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A <- matrix(runif(20*2),20)
res <- hyperSharperQ(A = A, l = c(0,0), u = c(1,1))
plot(A, pch = 20, xlim = c(0,1), ylim = c(0,1))
[Package hetGP version 1.1.8 Index]