diversification_constraint: constructor for diversification_constraint

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

Description

The diversification constraint specifies a target diversification value. This function is called by add.constraint when type="diversification" is specified, see add.constraint. Diversification is computed as 1 - sum(weights^2).

Usage

diversification_constraint(type = "diversification", div_target = NULL,
  enabled = TRUE, message = FALSE, ...)

Arguments

type	character type of the constraint
div_target	diversification target value
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters to specify diversification constraint an object of class 'diversification_constraint'

Author(s)

Ross Bennett

See Also

add.constraint

Examples

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

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

pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)

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