Description Usage Arguments Value
This is used as a helper function for
rp_transform
to check for violation of
position limit constraints. The position limit
constraints checked are max_pos, max_pos_long, and
max_pos_short.
1 2 | pos_limit_fail(weights, max_pos, max_pos_long,
max_pos_short)
|
weights |
vector of weights to test |
max_pos |
maximum number of assets with non-zero weights |
max_pos_long |
maximum number of assets with long (i.e. buy) positions |
max_pos_short |
maximum number of assets with short (i.e. sell) positions |
TRUE if any position_limit is violated. FALSE if all position limits are satisfied
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