constraint_ROI

number of assets, or optionally a named vector of assets specifying seed weights

assets

an object of type "OP" (optimization problem, of <code>ROI</code>) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.

op.problem

string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for <code>glpk</code> and <code>quadprog</code>.

solver

seed sequence of weights, see <code><a rd-options="" href="/link/generatesequence?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::generatesequence">generatesequence</a></code>

weight_seq

constructor for class constraint_ROI

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

constraint_ROI function

<dl><dt>assets</dt>
<dd>number of assets, or optionally a named vector of assets specifying seed weights</dd>
<dt>op.problem</dt>
<dd>an object of type "OP" (optimization problem, of <code>ROI</code>) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.</dd>
<dt>solver</dt>
<dd>string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for <code>glpk</code> and <code>quadprog</code>.</dd>
<dt>weight_seq</dt>
<dd>seed sequence of weights, see <code>generatesequence</code></dd></dl>

Arguments

Author

constructor for class constraint_ROI — constraint_ROI

<dl>

<dt>assets</dt>
<dd>number of assets, or optionally a named vector of assets specifying seed weights</dd>


<dt>op.problem</dt>
<dd>an object of type "OP" (optimization problem, of <code>ROI</code>) specifying the complete optimization problem, see ROI help pages for proper construction of OP object.</dd>


<dt>solver</dt>
<dd>string argument for what solver package to use, must have ROI plugin installed for that solver. Currently support is for <code>glpk</code> and <code>quadprog</code>.</dd>


<dt>weight_seq</dt>
<dd>seed sequence of weights, see <code>generatesequence</code></dd>

</dl>

constraint_ROI: constructor for class constraint_ROI

Description

Usage

Arguments

Author