PortfolioAnalytics (version 1.0.3636)

constraint: constructor for class constraint

Description

This function is the constructor for the v1_constraint object for backwards compatibility.

Usage

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

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

See Also

add.constraint

Examples

exconstr <- constraint(assets=10, min_sum=1, max_sum=1, min=.01, max=.35, 
weight_seq=generatesequence())