Description Usage Arguments Value Author(s) See Also Examples
Group constraints specify the grouping of the assets,
weights of the groups, and number of postions (i.e.
non-zero weights) iof the groups. This function is called
by add.constraint when type="group" is specified. see
add.constraint
1 2 3 |
type |
character type of the constraint |
assets |
number of assets, or optionally a named vector of assets specifying initial weights |
groups |
list of vectors specifying the groups of the assets |
group_labels |
character vector to label the groups (e.g. size, asset class, style, etc.) |
group_min |
numeric or vector specifying minimum weight group constraints |
group_max |
numeric or vector specifying minimum weight group constraints |
group_pos |
vector specifying the number of non-zero weights per group |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters to specify group constraints |
an object of class 'group_constraint'
Ross Bennett
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
# Assets 1 and 3 are groupA
# Assets 2 and 4 are groupB
pspec <- add.constraint(portfolio=pspec,
type="group",
groups=list(groupA=c(1, 3),
groupB=c(2, 4)),
group_min=c(0.15, 0.25),
group_max=c(0.65, 0.55))
# 2 levels of grouping (e.g. by sector and geography)
pspec <- portfolio.spec(assets=5)
# Assets 1, 3, and 5 are Tech
# Assets 2 and 4 are Oil
# Assets 2, 4, and 5 are UK
# Assets 1 and are are US
group_list <- list(group1=c(1, 3, 5),
group2=c(2, 4),
groupA=c(2, 4, 5),
groupB=c(1, 3))
pspec <- add.constraint(portfolio=pspec,
type="group",
groups=group_list,
group_min=c(0.15, 0.25, 0.2, 0.1),
group_max=c(0.65, 0.55, 0.5, 0.4))
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