Description Usage Arguments Value Author(s) See Also Examples
This function is called by add.constraint when
type="position_limit" is specified,
add.constraint
Allows the user to specify
the maximum number of positions (i.e. number of assets
with non-zero weights) as well as the maximum number of
long and short positions.
1 2 3 4 |
type |
character type of the constraint |
assets |
named vector of assets specifying initial weights |
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 |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters to specify position limit constraints |
an object of class 'position_limit_constraint'
Ross Bennett
1 2 3 4 5 6 7 | data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos_long=3, max_pos_short=1)
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