PortfolioAnalytics: weight_sum_constraint – R documentation

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weight_sum_constraint

constructor for weight_sum_constraint

Description

The constraint specifies the upper and lower bound on the sum of the weights. This function is called by add.constraint when "weight_sum", "leverage", "full_investment", "dollar_neutral", or "active" is specified as the type. see add.constraint

Usage

weight_sum_constraint(type = "weight_sum", min_sum = 0.99, max_sum = 1.01,
  enabled = TRUE, ...)

Arguments

`type`	character type of the constraint
`min_sum`	minimum sum of all asset weights, default 0.99
`max_sum`	maximum sum of all asset weights, default 1.01
`enabled`	TRUE/FALSE
`...`	any other passthru parameters to specify weight_sum constraints

Details

Special cases for the weight_sum constraint are "full_investment" and "dollar_nuetral" or "active"

If type="full_investment", min_sum=1 and max_sum=1

If type="dollar_neutral" or type="active", min_sum=0, and max_sum=0

Value

an object of class 'weight_sum_constraint'

Author(s)

Ross Bennett

Examples

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

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

# min_sum and max_sum can be specified with type="weight_sum" or type="leverage"
pspec <- add.constraint(pspec, type="weight_sum", min_sum=1, max_sum=1)

# Specify type="full_investment" to set min_sum=1 and max_sum=1
pspec <- add.constraint(pspec, type="full_investment")

# Specify type="dollar_neutral" or type="active" to set min_sum=0 and max_sum=0
pspec <- add.constraint(pspec, type="dollar_neutral")
pspec <- add.constraint(pspec, type="active")

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