constraint: constructors for class constraint

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

constructors for class constraint

Description

See main documentation entry in add.constraint.

Usage

constraint_v1(
  assets = NULL,
  ...,
  min,
  max,
  min_mult,
  max_mult,
  min_sum = 0.99,
  max_sum = 1.01,
  weight_seq = NULL
)

constraint(type, enabled = TRUE, ..., constrclass = "v2_constraint")

Arguments

assets	number of assets, or optionally a named vector of assets specifying initial weights
...	any other passthru parameters
min	numeric or named vector specifying minimum weight box constraints
max	numeric or named vector specifying minimum weight box constraints
min_mult	numeric or named vector specifying minimum multiplier box constraint from initial weight in assets
max_mult	numeric or named vector specifying maximum multiplier box constraint from initial weight in assets
min_sum	minimum sum of all asset weights, default .99
max_sum	maximum sum of all asset weights, default 1.01
weight_seq	seed sequence of weights, see generatesequence
type	character type of the constraint to add or update
enabled	TRUE/FALSE to enabled the constraint
constrclass	name of class for the constraint

Details

This includes the deprecated constructor for the v1_constraint object for backwards compatibility.

Author(s)

Peter Carl, Brian G. Peterson, Ross Bennett

See Also

add.constraint

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.