pos_limit_fail

weights

maximum number of assets with non-zero weights

max_pos

maximum number of assets with long (i.e. buy) positions

max_pos_long

maximum number of assets with short (i.e. sell) positions

max_pos_short

This is used as a helper function for <code>rp_transform</code> to check
for violation of position limit constraints. The position limit constraints
checked are max_pos, max_pos_long, and max_pos_short.

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

pos_limit_fail function

<dl><dt>weights</dt>
<dd>vector of weights to test</dd>
<dt>max_pos</dt>
<dd>maximum number of assets with non-zero weights</dd>
<dt>max_pos_long</dt>
<dd>maximum number of assets with long (i.e. buy) positions</dd>
<dt>max_pos_short</dt>
<dd>maximum number of assets with short (i.e. sell) positions</dd></dl>

Arguments

function to check for violation of position limits constraints — pos_limit_fail

<dl>

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


<dt>max_pos</dt>
<dd>maximum number of assets with non-zero weights</dd>


<dt>max_pos_long</dt>
<dd>maximum number of assets with long (i.e. buy) positions</dd>


<dt>max_pos_short</dt>
<dd>maximum number of assets with short (i.e. sell) positions</dd>

</dl>

pos_limit_fail: function to check for violation of position limits constraints

Description

Usage

Value

Arguments