leverage_exposure_constraint: constructor for leverage_exposure_constraint
Description
The leverage_exposure constraint specifies a maximum leverage where
leverage is defined as the sum of the absolute value of the weights.
Leverage exposure is computed as the sum of the absolute value of the
weights, sum(abs(weights)).
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...
any other passthru parameters to specify diversification constraint
an object of class 'diversification_constraint'
Author
Ross Bennett
Details
This should be used for constructing, for example, 130/30 portfolios or
dollar neutral portfolios with 2:1 leverage. For the ROI solvers, this is
implemented as a MILP problem and is not supported for problems formulated
as a quadratic programming problem. This may change in the future if a MIQP
solver is added.
This function is called by add.constraint when type="leverage_exposure"
is specified, see add.constraint.