position_limit_constraint: constructor for filter_constraint

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

constructor for filter_constraint

Description

This function is called by add.constraint when type="filter" is specified, add.constraint

Usage

position_limit_constraint(
  type = "position_limit",
  filter_name = NULL,
  enabled = TRUE,
  message = FALSE,
  ...
)

Arguments

type	character type of the constraint
filter_name	either a function to apply, or a name of a function to apply
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters to specify position limit constraints

Details

Allows the user to specify a filter function which will take returns, weights, and constraints as inputs, and can return a modified weights vector as output.

Fundamentally, it could be used to filter out certain assets, or to ensure that they must be long or short.

Typically, filter functions will be called by the random portfolio simulation function or via the fn_map function.

Value

an object of class 'position_limit_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="position_limit", max_pos=3)
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos_long=3, max_pos_short=1)

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