weight_sum_constraint: constructor for weight_sum_constraint

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

Description

The constraint specifies the upper and lower bound on the sum of the weights. This function is called by add.constraint when "weight_sum", "leverage", "full_investment", "dollar_neutral", or "active" is specified as the type. see add.constraint

Usage

  weight_sum_constraint(type = "weight_sum",
    min_sum = 0.99, max_sum = 1.01, enabled = TRUE, ...)

Arguments

type	character type of the constraint
min_sum	minimum sum of all asset weights, default 0.99
max_sum	maximum sum of all asset weights, default 1.01
enabled	TRUE/FALSE
...	any other passthru parameters to specify weight_sum constraints

Details

Special cases for the weight_sum constraint are "full_investment" and "dollar_nuetral" or "active"

If type="full_investment", min_sum=1 and max_sum=1

If type="dollar_neutral" or type="active", min_sum=0, and max_sum=0

Value

an object of class 'weight_sum_constraint'

Author(s)

Ross Bennett

See Also

add.constraint

Examples

data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

# min_sum and max_sum can be specified with type="weight_sum" or type="leverage"
pspec <- add.constraint(pspec, type="weight_sum", min_sum=1, max_sum=1)

# Specify type="full_investment" to set min_sum=1 and max_sum=1
pspec <- add.constraint(pspec, type="full_investment")

# Specify type="dollar_neutral" or type="active" to set min_sum=0 and max_sum=0
pspec <- add.constraint(pspec, type="dollar_neutral")
pspec <- add.constraint(pspec, type="active")

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