group_fail

weights

list of vectors specifying the groups of the assets

groups

numeric or vector specifying minimum weight group constraints

vector specifying the number of non-zero weights per group

group_pos

The function loops through each group and tests if cLO or cUP have been violated
for the given group. This is a helper function for <code>rp_transform</code>.

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

group_fail function

<dl><dt>weights</dt>
<dd>weights vector to test</dd>
<dt>groups</dt>
<dd>list of vectors specifying the groups of the assets</dd>
<dt>cLO</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>
<dt>cUP</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>
<dt>group_pos</dt>
<dd>vector specifying the number of non-zero weights per group</dd></dl>

Arguments

Author

Test if group constraints have been violated — group_fail

<dl>

<dt>weights</dt>
<dd>weights vector to test</dd>


<dt>groups</dt>
<dd>list of vectors specifying the groups of the assets</dd>


<dt>cLO</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>


<dt>cUP</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>


<dt>group_pos</dt>
<dd>vector specifying the number of non-zero weights per group</dd>

</dl>

group_fail: Test if group constraints have been violated

Description

Usage

Value

Arguments

Author