leverage_exposure_constraint: constructor for leverage_exposure_constraint

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

Description

The leverage_exposure constraint specifies a maximum leverage. 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 ma changed in the future if a MIQP solver is added.

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 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)

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