get_constraints: Helper function to get the enabled constraints out of the...

Description Usage Arguments Value Author(s) See Also

Description

Helper function to get the enabled constraints out of the portfolio object

When the v1_constraint object is instantiated via constraint, the arguments min_sum, max_sum, min, and max are either specified by the user or default values are assigned. These are required by other functions such as optimize.portfolio and constrained_objective . This function will check that these variables are in the portfolio object in the constraints list. We will default to min_sum=1 and max_sum=1 if leverage constraints are not specified. We will default to min=-Inf and max=Inf if box constraints are not specified. This function is used at the beginning of optimize.portfolio and other functions to extract the constraints from the portfolio object. We Use the same naming as the v1_constraint object.

Usage

1

Arguments

portfolio

an object of class 'portfolio'

Value

an object of class 'constraint' which is a flattened list of enabled constraints

Author(s)

Ross Bennett

See Also

portfolio.spec


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