constructor for box_constraint.
Box constraints specify the upper and lower bounds on the weights of the assets.
This function is called by add.constraint when type="box" is specified. See add.constraint.
box_constraint(type = "box", assets, min, max, min_mult, max_mult, enabled = TRUE, message = FALSE, ...)
type |
character type of the constraint |
assets |
number of assets, or optionally a named vector of assets specifying initial weights |
min |
numeric or named vector specifying minimum weight box constraints |
max |
numeric or named vector specifying minimum weight box constraints |
min_mult |
numeric or named vector specifying minimum multiplier box constraint from initial weight in |
max_mult |
numeric or named vector specifying maximum multiplier box constraint from initial weight in |
enabled |
TRUE/FALSE |
message |
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE. |
... |
any other passthru parameters to specify box constraints |
an object of class 'box_constraint'
Ross Bennett
data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
# defaults to min=0 and max=1
pspec <- add.constraint(pspec, type="box")
# specify box constraints as a scalar
pspec <- add.constraint(pspec, type="box", min=0.05, max=0.45)
# specify box constraints per asset
pspec <- add.constraint(pspec,
type="box",
min=c(0.05, 0.10, 0.08, 0.06),
max=c(0.45, 0.55, 0.35, 0.65))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.