diversification_constraint: constructor for diversification_constraint

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

constructor for diversification_constraint

Description

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).

Usage

diversification_constraint(
  type = "diversification",
  div_target = NULL,
  enabled = TRUE,
  message = FALSE,
  ...
)

Arguments

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'

Author(s)

Ross Bennett

See Also

add.constraint

Examples

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

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

pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)

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