fPortfolio (version 260.72)

PortfolioConstraints: Portfolio Constraints

Description

A collection and description of functions, which allow to set, manipulate and/or view portfolio constraints. Type of constraints include box/group constraints of weights, and covariance risk-budget constraints. The functions are: ll{ portfolioConstraints Checks portfolio constraints for consistency. }

Usage

portfolioConstraints(data, spec = portfolioSpec(), constraints = NULL)

Arguments

constraints

[setConstraints] - a character value or character vector, containing the constraint strings. Setting constraints is described in the details section

data

[setConstraints] - a list, having a statistics named list, having named entries 'mu' and 'Sigma', containing the information of the statistics

spec

[setConstraints] - an object of class fPFOLIOSPEC, containing slots call, model, portfolio, title, description.

Details

How to define constraints? Constraints are defined by a character string or a vector of character strings. Special Constraint Settings: There are three special cases, the settings constraints=NULL, constraints="Short", and constraints="LongOnly". Note, that these three constraint settings are not allowed to be combined with more general constraint definitions. NULL: This selection defines the default value and is equivalent to the "LongOnly" case, see below. "Short": This selection defines the case of unlimited short selling. i.e. each weight may range between -Inf and Inf. Consequently, there are no group constraints. Risk budget constraints are not included in the portfolio optimization. "LongOnly": This selection is the same as the default setting. Each weight may range between 0 ans 1. No group constraints and risk budget constraints will be included in the portfolio optimization. Tailored Weight Constrained Portfolios: Weight constrained portfolios may be specified by a vector of character strings which describe executable code, setting values to to vectors minW, maxW, minsumW, and maxsumW. The individual string elements of the vector have the following form: [object Object],[object Object] Asset(s) is an index of one or more assets, and value a numeric value or vector assigning the desired value. Note, if the values range between zero and one, then we have a long only portfolio allowing for box and group constraints of the weights. If the values are set to negative values, and values larger than one, then (constrained) short selling will be allowed. Tailored Risk Budget Constrained Portfolios: By default, risk budgets are not included in the portfolio optimization. Covariance risk budgets have to be added explicitely, and have the following form: [object Object] Again, Asset(s) is an index of one or more assets, and value a numeric value or vector with numbers ranging between zero and one, assigning the desired risk budgets.

See Also

PortfolioData, PortfolioSpec, fPORTFOLIO, PortfolioPlots.

Examples

## portfolioConstraints -
   # Load Data, i.e. a List of Returns:
   Data = as.timeSeries(data(smallcap.ts))
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data
   # Specification:
   Spec = portfolioSpec() 
   # Portfolio Constraints:
   Constraints = "minW[1:4]"
   portfolioConstraints(Data, Spec, Constraints)