box_constraint: constructor for box_constraint.

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

Box constraints specify the upper and lower bounds on the weights of the assets. This function is called by add.constraint when type="box" is specified. See add.constraint.

Usage

box_constraint(type = "box", assets, min, max, min_mult, max_mult,
  enabled = TRUE, message = FALSE, ...)

Arguments

type	character type of the constraint
assets	number of assets, or optionally a named vector of assets specifying initial weights
min	numeric or named vector specifying minimum weight box constraints
max	numeric or named vector specifying minimum weight box constraints
min_mult	numeric or named vector specifying minimum multiplier box constraint from initial weight in assets
max_mult	numeric or named vector specifying maximum multiplier box constraint from initial weight in assets
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters to specify box constraints

Value

an object of class 'box_constraint'

Author(s)

Ross Bennett

See Also

add.constraint

Examples

data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

# defaults to min=0 and max=1
pspec <- add.constraint(pspec, type="box")

# specify box constraints as a scalar
pspec <- add.constraint(pspec, type="box", min=0.05, max=0.45)

# specify box constraints per asset
pspec <- add.constraint(pspec, 
                        type="box", 
                        min=c(0.05, 0.10, 0.08, 0.06), 
                        max=c(0.45, 0.55, 0.35, 0.65))
                        

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.