transaction_cost_constraint: constructor for transaction_cost_constraint
Description
The transaction cost constraint specifies a proportional cost value.
This function is called by add.constraint when type="transaction_cost" is specified, see add.constraint.
number of assets, or optionally a named vector of assets specifying initial weights
ptc
proportional transaction cost value
enabled
TRUE/FALSE
message
TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.
...
any other passthru parameters to specify box and/or group constraints
Author
Ross Bennett
Details
Note that with the ROI solvers, proportional transaction cost constraint is
currently only supported for the global minimum variance and quadratic
utility problems with ROI quadprog plugin.