constraint_v1 {PortfolioAnalytics}

constructors for class constraint

Description

See main documentation entry in add.constraint.

Usage

constraint_v1(
  assets = NULL,
  ...,
  min,
  max,
  min_mult,
  max_mult,
  min_sum = 0.99,
  max_sum = 1.01,
  weight_seq = NULL
)

constraint(type, enabled = TRUE, ..., constrclass = "v2_constraint")

Arguments

assets

number of assets, or optionally a named vector of assets specifying initial weights

...

any other passthru parameters

min

numeric or named vector specifying minimum weight box constraints

max

numeric or named vector specifying minimum weight box constraints

min_mult

numeric or named vector specifying minimum multiplier box constraint from initial weight in assets

max_mult

numeric or named vector specifying maximum multiplier box constraint from initial weight in assets

min_sum

minimum sum of all asset weights, default .99

max_sum

maximum sum of all asset weights, default 1.01

weight_seq

seed sequence of weights, see generatesequence

type

character type of the constraint to add or update

enabled

TRUE/FALSE to enabled the constraint

constrclass

name of class for the constraint

Details

This includes the deprecated constructor for the v1_constraint object for backwards compatibility.

Author(s)

Peter Carl, Brian G. Peterson, Ross Bennett

See Also

add.constraint