Description Usage Arguments Details Value Author(s) See Also Examples
The turnover constraint specifies a target turnover
value. This function is called by add.constraint when
type="turnover" is specified, see
add.constraint
. Turnover is calculated from
a set of initial weights.
1 2 |
type |
character type of the constraint |
turnover_target |
target turnover value |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters to specify box and/or group constraints |
Note that with the ROI solvers, turnover constraint is currently only supported for the global minimum variance and quadratic utility problems with ROI quadprog plugin.
an object of class 'turnover_constraint'
Ross Bennett
1 2 3 4 5 6 | data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
pspec <- add.constraint(portfolio=pspec, type="turnover", turnover_target=0.6)
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