constraints-methods: Methods: Portfolio User Constraints

In pmoments: Partial Moments

Description

Method for creating constraints prior to portfolio optimization. Allows for asset and group level constraints.

Usage

constraints(forecasts, portfolioReturn, riskAversion = 1, budget = 1, riskFree=0, group = NA, groupUB = NA, groupLB = NA, assetsUB = NA, assetsLB = NA)

Arguments

forecasts	A data vector with the asset forecasts (Nx1).
portfolioReturn	The expected portfolio level return constraint subject to the forecast vector (1x1).
riskAversion	The risk aversion coefficient (1x1).
riskFree	The risk free rate used to calculate the tangency portfolio (1x1).
budget	The portfolio budget (sum of weights) constraint (1x1).
group	Optional group level constraints (kxN).
groupUB	Upper bound constraints of the group matrix(kx1).
groupLB	Lower bound constraints of the group matrix(kx1).
assetsUB	Upper bound constraints of the assets vector (Nx1).
assetsLB	Upper bound constraints of the assets vector (Nx1).

Value

An object of class Constraints.

Extends

Class Constraints, directly.

Author(s)

Alexios Ghalanos

pmoments documentation built on May 2, 2019, 4:42 p.m.