constraint: constructor for class constraint

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

Description

This function is the constructor for the v1_constraint object for backwards compatibility.

Usage

  constraint(assets = NULL, ..., min, max, min_mult,
    max_mult, min_sum = 0.99, max_sum = 1.01,
    weight_seq = NULL)

Arguments

assets	number of assets, or optionally a named vector of assets specifying initial weights
...	any other passthru parameters
min	numeric or named vector specifying minimum weight box constraints
max	numeric or named vector specifying minimum weight box constraints
min_mult	numeric or named vector specifying minimum multiplier box constraint from initial weight in assets
max_mult	numeric or named vector specifying maximum multiplier box constraint from initial weight in assets
min_sum	minimum sum of all asset weights, default .99
max_sum	maximum sum of all asset weights, default 1.01
weight_seq	seed sequence of weights, see generatesequence

Author(s)

Peter Carl, Brian G. Peterson

See Also

add.constraint

Examples

exconstr <- constraint(assets=10, min_sum=1, max_sum=1, min=.01, max=.35, weight_seq=generatesequence())

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.