weight_concentration_objective: Constructor for weight concentration objective

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

Description

This function penalizes weight concentration using the Herfindahl-Hirschman Index as a measure of concentration.

Usage

  weight_concentration_objective(name, conc_aversion,
    conc_groups = NULL, arguments = NULL, enabled = TRUE,
    ...)

Arguments

name	name of concentration measure, currently only "HHI" is supported.
conc_aversion	concentration aversion value(s)
conc_groups	list of vectors specifying the groups of the assets. Similar to groups in group_constraint
arguments	default arguments to be passed to an objective function when executed
enabled	TRUE/FALSE
...	any other passthru parameters

Details

The conc_aversion argument can be a scalar or vector of concentration aversion values. If conc_aversion is a scalar and conc_groups is NULL, then the concentration aversion value will be applied to the overall weights.

If conc_groups is specified as an argument, then the concentration aversion value(s) will be applied to each group.

Value

an object of class 'weight_concentration_objective'

Author(s)

Ross Bennett

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