diversification_constraint: constructor for diversification_constraint

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

Description

The diversification constraint specifies a target diversification value. This function is called by add.constraint when type="diversification" is specified, see add.constraint.

Usage

  diversification_constraint(type = "diversification",
    div_target = NULL, enabled = TRUE, message = FALSE,
    ...)

Arguments

type	character type of the constraint
div_target	diversification target 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'

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="diversification", div_target=0.7)

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