position_limit_constraint {PortfolioAnalytics} | R Documentation |
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
See Also
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)
[Package PortfolioAnalytics version 1.1.0 Index]