weight_concentration_objective {PortfolioAnalytics}

Constructor for weight concentration objective

Description

This function penalizes weight concentration using the Herfindahl-Hirschman Index as a measure of concentration.

Usage

weight_concentration_objective(
  name,
  conc_aversion,
  conc_groups = NULL,
  arguments = NULL,
  enabled = TRUE,
  ...
)

Arguments

name

name of concentration measure, currently only "HHI" is supported.

conc_aversion

concentration aversion value(s)

conc_groups

list of vectors specifying the groups of the assets. Similar to groups in group_constraint

arguments

default arguments to be passed to an objective function when executed

enabled

TRUE/FALSE

...

any other passthru parameters

Details

The conc_aversion argument can be a scalar or vector of concentration aversion values. If conc_aversion is a scalar and conc_groups is NULL, then the concentration aversion value will be applied to the overall weights.

If conc_groups is specified as an argument, then the concentration aversion value(s) will be applied to each group.

Value

an object of class 'weight_concentration_objective'

Author(s)

Ross Bennett