constraints-methods: Methods: Portfolio User Constraints

Description Usage Arguments Value Extends Author(s)

Description

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

Usage

1
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 31, 2017, 1:48 a.m.

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