[GSoC-PortA] Quick question on multipliers and constrained_objective()

[Ross Bennett]

Hi All,

I have a quick question on how the multiplier is used inside of the
constrained_objective() function.

The code below is from lines 230-248 in constrained_objective.R for objects
of class return_objective and portfolio_risk_objective.

          # now set the new value of the objective output
          if(inherits(objective,"return_objective")){
              if (!is.null(objective$target) &
is.numeric(objective$target)){ # we have a target
                  out = out +
penalty*abs(objective$multiplier)*abs(tmp_measure-objective$target)
              }
              # target is null or doesn't exist, just maximize, or minimize
violation of constraint
              out = out + abs(objective$multiplier)*tmp_measure
          } # end handling for return objectives

          if(inherits(objective,"portfolio_risk_objective")){
            if (!is.null(objective$target) & is.numeric(objective$target)){
# we have a target
                out = out +
penalty*abs(objective$multiplier)*abs(tmp_measure-objective$target)
                #should we also penalize risk too low for risk targets? or
is a range another objective?
                #    # half penalty for risk lower than target
                #    if(  prw < (.9*Riskupper) ){ out = out + .5*(penalty*(
prw - Riskupper)) }
            }
            # target is null or doesn't exist, just maximize, or minimize
violation of constraint
            out = out + abs(objective$multiplier)*tmp_measure
          } #  univariate risk objectives

When specifying objectives, if we want to maximize return, we would set
multiplier=-1 and if we wanted to minimize risk we would set multiplier=1
in the objective object.

Because the code below takes the absolute value of the multiplier
(abs(objective$multiplier)), doesn't this make the multiplier have no
effect?

Any thoughts or insight is much appreciated.

Thanks,
Ross Bennett
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