weight_concentration_objective: 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
...
any other passthru parameters
Value
an object of class 'weight_concentration_objective'
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.