userConstraints-class: Class: userConstraints

Description Objects from the Class Slots Extends Methods Author(s) See Also Examples

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

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