calc_slack: Calculates slack

Description Usage Arguments Examples

View source: R/optbypairwiseiter.r

Description

Calculates weights that can be added or subtracted from a portfolios without violating box contraints. Also returns the indices representing which asset classes may be increased and decreased

Usage

1
calc_slack(x, boxmin, boxmax, maxdelta)

Arguments

x

Portfolio weights

boxmin

Box min constraints

boxmax

Box max constraings

maxdelta

Maximum amount by which to change an asset class

Examples

1
calc_slack(x, boxmin, boxmax, 0.03)

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.