##### Scenario-based Portfolio Optimization (scenportopt)
##### (c)2013-2014 Ronald Hochreiter <ron@hochreiter.net>
##### http://www.finance-r.com/
# Add corresponding long/short constraints for a diverse set of
# active extension portfolios (e.g. 130/30 portfolios)
active.extension <- function(model, up=130, down=30) {
if(up > 1) { up <- up/100 }
if(down > 1) { down <- down/100 }
model$sum.long <- up # 130/30: 1.3
model$sum.short <- down # 130/30: 0.3
model$asset.bound.lower <- -down # 130/30: -0.3
model$asset.bound.upper <- up # 130/30: 1.3
model$active.extension <- TRUE
return(model)
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.