data(edhec)
ret <- edhec[, 1:4]
pspec <- portfolio.spec(assets=colnames(ret))
# Assets 1 and 3 are groupA
# Assets 2 and 4 are groupB
pspec <- add.constraint(portfolio=pspec,
type="group",
groups=list(groupA=c(1, 3),
groupB=c(2, 4)),
group_min=c(0.15, 0.25),
group_max=c(0.65, 0.55))
# 2 levels of grouping (e.g. by sector and geography)
pspec <- portfolio.spec(assets=5)
# Assets 1, 3, and 5 are Tech
# Assets 2 and 4 are Oil
# Assets 2, 4, and 5 are UK
# Assets 1 and are are US
group_list <- list(group1=c(1, 3, 5),
group2=c(2, 4),
groupA=c(2, 4, 5),
groupB=c(1, 3))
pspec <- add.constraint(portfolio=pspec,
type="group",
groups=group_list,
group_min=c(0.15, 0.25, 0.2, 0.1),
group_max=c(0.65, 0.55, 0.5, 0.4))
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