return_constraint: constructor for return_constraint

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

Description

The return constraint specifes a target mean return value. This function is called by add.constraint when type="return" is specified, add.constraint

Usage

  return_constraint(type = "return", return_target,
    enabled = TRUE, message = FALSE, ...)

Arguments

type	character type of the constraint
return_target	return target value
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters

Value

an object of class 'return_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="return", return_target=mean(colMeans(ret)))

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