leverage_exposure_constraint: constructor for leverage_exposure_constraint

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

Description

The leverage_exposure constraint specifies a maximum leverage where leverage is defined as the sum of the absolute value of the weights. Leverage exposure is computed as the sum of the absolute value of the weights, sum(abs(weights)).

Usage

leverage_exposure_constraint(type = "leverage_exposure", leverage = NULL,
  enabled = TRUE, message = FALSE, ...)

Arguments

type	character type of the constraint
leverage	maximum leverage 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'

Details

This should be used for constructing, for example, 130/30 portfolios or dollar neutral portfolios with 2:1 leverage. For the ROI solvers, this is implemented as a MILP problem and is not supported for problems formulated as a quadratic programming problem. This may change in the future if a MIQP solver is added.

This function is called by add.constraint when type="leverage_exposure" is specified, see add.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="leverage_exposure", leverage=1.6)

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