return_constraint: constructor for return_constraint

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

constructor for return_constraint

Description

The return constraint specifes a target mean return value. This function is called by add.constraint when type="return" is specified, add.constraint

Usage

return_constraint(
  type = "return",
  return_target,
  enabled = TRUE,
  message = FALSE,
  ...
)

Arguments

type	character type of the constraint
return_target	return target value
enabled	TRUE/FALSE
message	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...	any other passthru parameters

Value

an object of class 'return_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="return", return_target=mean(colMeans(ret)))

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