PortfolioAnalytics: diversification_constraint – R documentation

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diversification_constraint

constructor for diversification_constraint

Description

The diversification constraint specifies a target diversification value. This function is called by add.constraint when type="diversification" is specified, see add.constraint. Diversification is computed as 1 - sum(weights^2).

Usage

diversification_constraint(type = "diversification", div_target = NULL,
  enabled = TRUE, message = FALSE, ...)

Arguments

`type`	character type of the constraint
`div_target`	diversification target value
`enabled`	TRUE/FALSE
`message`	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
`...`	any other passthru parameters to specify diversification constraint an object of class 'diversification_constraint'

Author(s)

Ross Bennett

Examples

data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)

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