turnover_constraint: constructor for turnover_constraint
Description
The turnover constraint specifies a target turnover value.
This function is called by add.constraint when type="turnover" is specified, see add.constraint.
Turnover is calculated from a set of initial weights. Turnover is
computed as sum(abs(initial_weights - weights)) / N where N is
the number of assets.
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, turnover constraint is currently only
supported for the global minimum variance and quadratic utility problems
with ROI quadprog plugin.