linear.constraint.iq

the current set of inequality constraints

constraints.linear

the range of the variables to set (default 1 if factors is NULL)

range

values to set for each variable in the given range

factors

if false then the sign of the constraint will be inversed

<code>linear.constraint.iq</code> creates a vector-based linear inequality
constraint: Aeq(range) * factors &lt;= beq

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

linear.constraint.iq: Create or update a vector-based linear inequality constraint set

Description

Usage

Arguments

Value