[Returnanalytics-commits] r2468 - pkg/PortfolioAnalytics/R

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2013-06-28 23:01:42 +0200 (Fri, 28 Jun 2013)
New Revision: 2468

Modified:
   pkg/PortfolioAnalytics/R/constrained_objective.R
Log:
remove abs() function for objective in return_objective so that return can be maximized with a negative multiplier

Modified: pkg/PortfolioAnalytics/R/constrained_objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/constrained_objective.R	2013-06-28 19:19:53 UTC (rev 2467)
+++ pkg/PortfolioAnalytics/R/constrained_objective.R	2013-06-28 21:01:42 UTC (rev 2468)
@@ -233,7 +233,7 @@
                   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$multiplier)*tmp_measure
+              out = out + objective$multiplier*tmp_measure
           } # end handling for return objectives
 
           if(inherits(objective,"portfolio_risk_objective")){