Description Usage Arguments Value Extends Author(s)

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

1 |

`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). |

An object of class `Constraints`

.

Class `Constraints`

, directly.

Alexios Ghalanos

pmoments documentation built on May 31, 2017, 1:48 a.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.