weight_concentration_objective

name of concentration measure, currently only "HHI" is supported.

name

conc_aversion

list of vectors specifying the groups of the assets. Similar
to <code>groups</code> in <code><a rd-options="" href="/link/group_constraint?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::group_constraint">group_constraint</a></code>

conc_groups

default arguments to be passed to an objective function when executed

arguments

enabled

&#8230;

This function penalizes weight concentration using the Herfindahl-Hirschman Index
as a measure of concentration.

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

weight_concentration_objective function

<dl><dt>name</dt>
<dd>name of concentration measure, currently only "HHI" is supported.</dd>
<dt>conc_aversion</dt>
<dd>concentration aversion value(s)</dd>
<dt>conc_groups</dt>
<dd>list of vectors specifying the groups of the assets. Similar
to <code>groups</code> in <code>group_constraint</code></dd>
<dt>arguments</dt>
<dd>default arguments to be passed to an objective function when executed</dd>
<dt>enabled</dt>
<dd>TRUE/FALSE</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd></dl>

Arguments

Author

Constructor for weight concentration objective — weight_concentration_objective

<dl>

<dt>name</dt>
<dd>name of concentration measure, currently only "HHI" is supported.</dd>


<dt>conc_aversion</dt>
<dd>concentration aversion value(s)</dd>


<dt>conc_groups</dt>
<dd>list of vectors specifying the groups of the assets. Similar
to <code>groups</code> in <code>group_constraint</code></dd>


<dt>arguments</dt>
<dd>default arguments to be passed to an objective function when executed</dd>


<dt>enabled</dt>
<dd>TRUE/FALSE</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>

</dl>

weight_concentration_objective: Constructor for weight concentration objective

Description

Usage

Value

Arguments

Author

Details