turnover_constraint: constructor for turnover_constraint

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

Description

The turnover constraint specifies a target turnover value. This function is called by add.constraint when type="turnover" is specified, see add.constraint. Turnover is calculated from a set of initial weights. Turnover is computed as sum(abs(initial_weights - weights)) / N where N is the number of assets.

Usage

turnover_constraint(type = "turnover", turnover_target, enabled = TRUE,
  message = FALSE, ...)

Arguments

type	character type of the constraint
turnover_target	target turnover value
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters to specify box and/or group constraints

Details

Note that with the ROI solvers, turnover constraint is currently only supported for the global minimum variance and quadratic utility problems with ROI quadprog plugin.

Value

an object of class 'turnover_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="turnover", turnover_target=0.6)

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
Loading required package: foreach
Loading required package: PerformanceAnalytics

Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

    legend

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