PortfolioEffectHFT (version 1.6)

optimization_constraint_sumOfAbsWeights: Portfolio Optimization - Sum Of Absolute Position Weights Constraint

Description

Adds portfolio optimization constraint restricting optimal portfolio's sum of absolute weights to a certain range.

Usage

optimization_constraint_sumOfAbsWeights(optimizer,
constraintType=c("=", ">=", "<="), constraintvalue,="" symbols)<="" div="">

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

constraintType

Optimization constraint type: "=" - an equality constraint, ">=" - an inclusive lower bound constraint, "

constraintValue

Value to be used as a constraint equality or boundary

symbols

Vector of instrument symbols

Value

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300)
# portfolio_addPosition(portfolio,'GOOG',100)  
# optimizer<-optimization_goal(portfolio,"Return","maximize")
# optimizer=optimization_constraint_sumOfAbsWeights(optimizer,">=",0.8,c('AAPL',"C"))
# optimalPortfolio<-optimization_run(optimizer)
# print(optimalPortfolio)
# ## End(Not run)