PortfolioAnalytics (version 1.1.0)

diversification_constraint: constructor for diversification_constraint

Description

The diversification constraint specifies a target diversification value. This function is called by add.constraint when type="diversification" is specified, see add.constraint. Diversification is computed as 1 - sum(weights^2).

Usage

diversification_constraint(type = "diversification", div_target = NULL,
  enabled = TRUE, message = FALSE, ...)

Arguments

type

character type of the constraint

div_target

diversification target value

enabled

TRUE/FALSE

message

TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.

…

any other passthru parameters to specify diversification constraint an object of class 'diversification_constraint'

See Also

add.constraint

Examples

# NOT RUN {
data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)
# }

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