group_fail: Test if group constraints have been violated

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

Description

The function loops through each group and tests if cLO or cUP have been violated for the given group. This is a helper function for rp_transform.

Usage

group_fail(weights, groups, cLO, cUP, group_pos = NULL)

Arguments

weights	weights vector to test
groups	list of vectors specifying the groups of the assets
cLO	numeric or vector specifying minimum weight group constraints
cUP	numeric or vector specifying minimum weight group constraints
group_pos	vector specifying the number of non-zero weights per group

Value

logical vector: TRUE if group constraints are violated for a given group

Author(s)

Ross Bennett

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