diversification_constraint | R Documentation |
The diversification constraint specifies a target diversification value.
This function is called by add.constraint when type="diversification" is
specified, see add.constraint
. Diversification is computed
as 1 - sum(weights^2)
.
diversification_constraint(
type = "diversification",
div_target = NULL,
enabled = TRUE,
message = FALSE,
...
)
type |
character type of the constraint |
div_target |
diversification target value |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters to specify diversification constraint an object of class 'diversification_constraint' |
Ross Bennett
add.constraint
data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)
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