PortfolioAnalytics: position_limit_constraint – R documentation

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position_limit_constraint

constructor for position_limit_constraint

Description

This function is called by add.constraint when type="position_limit" is specified, add.constraint Allows the user to specify the maximum number of positions (i.e. number of assets with non-zero weights) as well as the maximum number of long and short positions.

Usage

position_limit_constraint(type = "position_limit", assets, max_pos = NULL,
  max_pos_long = NULL, max_pos_short = NULL, enabled = TRUE,
  message = FALSE, ...)

Arguments

`type`	character type of the constraint
`assets`	named vector of assets specifying initial weights
`max_pos`	maximum number of assets with non-zero weights
`max_pos_long`	maximum number of assets with long (i.e. buy) positions
`max_pos_short`	maximum number of assets with short (i.e. sell) positions
`enabled`	TRUE/FALSE
`message`	TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
`...`	any other passthru parameters to specify position limit constraints

Value

an object of class 'position_limit_constraint'

Author(s)

Ross Bennett

Examples

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

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

pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos_long=3, max_pos_short=1)

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