PortfolioAnalytics: check_constraints – R documentation

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check_constraints

check if a set of weights satisfies the constraints

Description

This function checks if a set of weights satisfies all constraints. This is used as a helper function for random portfolios created with rp_simplex and rp_grid to eliminate portfolios that do not satisfy the constraints.

Usage

check_constraints(weights, portfolio)

Arguments

`weights`	vector of weights
`portfolio`	object of class 'portfolio'

Value

TRUE if all constraints are satisfied, FALSE if any constraint is violated

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]

Initial release

2018-05-17