userConstraints-class: Class: userConstraints

In pmoments: Partial Moments

Description

The class holding the object from calling the constraints method. Methods exist for setting and getting the sub-objects from this class.

Objects from the Class

Objects are usually created by calling the constraints method.

Slots

call:

The function call.

forecasts:

The numeric vector of forecasts.

portfolioReturn:

The expected portfolio level return constraint (1x1).

riskAversion:

The risk aversion coefficient (1x1).

riskFree:

The risk free rate (1x1).

budget:

Portfolio Budget Constraint(1x1).

group:

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:

Lower bound constraints of the assets vector (Nx1).

Extends

Class "Constraints", directly.

Methods

getassetsLB

signature(object = "userConstraints"): ...

getassetsUB

signature(object = "userConstraints"): ...

getbudget

signature(object = "userConstraints"): ...

getriskFree

signature(object = "userConstraints"): ...

getforecasts

signature(object = "userConstraints"): ...

getgroup

signature(object = "userConstraints"): ...

getgroupLB

signature(object = "userConstraints"): ...

getgroupUB

signature(object = "userConstraints"): ...

getportfolioReturn

signature(object = "userConstraints"): ...

getriskAversion

signature(object = "userConstraints"): ...

pmSolver

signature(pcmExpectation = "PCME", userConstraints = "userConstraints"): ...

setassetsLB<-

signature(object = "userConstraints"): ...

setassetsUB<-

signature(object = "userConstraints"): ...

setbudget<-

signature(object = "userConstraints"): ...

setriskFree<-

signature(object = "userConstraints"): ...

setforecasts<-

signature(object = "userConstraints"): ...

setgroup<-

signature(object = "userConstraints"): ...

setgroupLB<-

signature(object = "userConstraints"): ...

setgroupUB<-

signature(object = "userConstraints"): ...

setportfolioReturn<-

signature(object = "userConstraints"): ...

setriskAversion<-

signature(object = "userConstraints"): ...

solverConstraints

signature(constraints = "userConstraints", type = "character", direction = "numeric"): ...

Author(s)

Alexios Ghalanos

See Also

constraints

Examples

# initialize a constraints object
myconstraints<-constraints()
# see what is contains
myconstraints
# Initialize it differently:
myconstraints<-constraints(forecasts=rep(0.01,10), portfolioReturn=0.01, 
			riskAversion = 1, budget = 1, riskFree=0.004, 
			group = matrix(c(1,1,1,1,0,0,1,0,0,1), nrow=1), 
			groupUB = 1, groupLB = -1, assetsUB = rep(0.25,10), 
			assetsLB = rep(-0.25,10))
# get individual components
getgroup(myconstraints)
# set indivisual components
setgroup(myconstraints)<-matrix(c(1,0,0,1,0,0,0,0,0,1), nrow=1)
# see what has changed
getgroup(myconstraints)

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