PortfolioEffectHFT (version 1.7)

optimization_constraint: Portfolio Optimization Constraint

Description

Adds portfolio optimization constraint restricting optimal portfolio's beta to a certain range.

Usage

optimization_constraint(optimizer, constraintMertic,                              
		constraintType,
		constraintValue)

Arguments

optimizer

Object of class optimizer created using optimization_goal( ) method

constraintMertic

Object of class metric to be used for computing optimization constraint

constraintType

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

constraintValue

Value to be used as a constraint boundary

Value

optimizer

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')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# optimizer=optimization_goal(log_return(portfolio),"max")
# optimizer=optimization_constraint(optimizer,beta(portfolio),"<=",0.5)
# optimalPortfolio=optimization_run(optimizer)
# print(optimalPortfolio)
# ## End(Not run)