meet_constraint: Meet Constraint

In chrishaarstick/madstork.opt: MadStork Portfolio Optimization

Description

Checks portfolio against constraint and updates portfolio with nbto

Usage

meet_constraint(constraint, pobj, cobj, eobj, prices, trade_pairs,
  minimize, target, amount, lot_size, max_iter, ...)

## S3 method for class 'symbol_constraint'
meet_constraint(constraint, pobj, cobj, eobj,
  prices, trade_pairs, target, minimize, amount, lot_size, max_iter = 5,
  ...)

## S3 method for class 'cash_constraint'
meet_constraint(constraint, pobj, cobj, eobj,
  prices, trade_pairs, target, minimize, amount, lot_size, max_iter = 5,
  ...)

## S3 method for class 'cardinality_constraint'
meet_constraint(constraint, pobj, cobj,
  eobj, prices, trade_pairs, target, minimize, amount, lot_size,
  max_iter = 5, n_syms = 3, ...)

## S3 method for class 'group_constraint'
meet_constraint(constraint, pobj, cobj, eobj,
  prices, trade_pairs, target, minimize, amount, lot_size, max_iter = 5,
  ...)

## S3 method for class 'performance_constraint'
meet_constraint(constraint, pobj, cobj,
  eobj, prices, trade_pairs, target, minimize, amount, lot_size,
  max_iter = 5, max_pairs = 50, ...)

Arguments

constraint	constraint object
pobj	portfolio object
cobj	constraints object
eobj	estimates object
prices	current symbol prices
trade_pairs	possible trade pairs
minimize	logical option to minimize target objective
target	optimization target
amount	trade amount for nbto
lot_size	trade lot minimum size
max_iter	maximum number of iterations for nbto
...	additional parameters. not currently implemented

Value

data.frame with summary of constraint check

chrishaarstick/madstork.opt documentation built on Nov. 12, 2019, 9:39 p.m.