| active.extension {portfolio.optimization} | R Documentation |
Enable active extension portfolios
Description
active.extension adds corresponding long/short constraints for a
diverse set of active extension portfolios (e.g. 130/30 portfolios)
Usage
active.extension(model, up = 130, down = 30)
Arguments
model |
the portfolio.model to activate |
up |
percentage long (e.g. 130) |
down |
percentage short (e.g. 30) |
Value
portfolio.model with active extension enabled
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
[Package portfolio.optimization version 1.0-0 Index]