position_limit_constraint: constructor for position_limit_constraint

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

Description

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.

Usage

  position_limit_constraint(type = "position_limit",
    assets, max_pos = NULL, max_pos_long = NULL,
    max_pos_short = NULL, enabled = TRUE, message = FALSE,
    ...)

Arguments

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

Value

an object of class 'position_limit_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="position_limit", max_pos=3)
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos_long=3, max_pos_short=1)

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