PortfolioAnalytics: group_fail – R documentation

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group_fail

Test if group constraints have been violated

Description

The function loops through each group and tests if cLO or cUP have been violated for the given group. This is a helper function for rp_transform.

Usage

group_fail(weights, groups, cLO, cUP, group_pos = NULL)

Arguments

`weights`	weights vector to test
`groups`	list of vectors specifying the groups of the assets
`cLO`	numeric or vector specifying minimum weight group constraints
`cUP`	numeric or vector specifying minimum weight group constraints
`group_pos`	vector specifying the number of non-zero weights per group

Value

logical vector: TRUE if group constraints are violated for a given group

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