This function penalizes weight concentration using the Herfindahl-Hirschman Index as a measure of concentration.
weight_concentration_objective(
name,
conc_aversion,
conc_groups = NULL,
arguments = NULL,
enabled = TRUE,
...
)
an object of class 'weight_concentration_objective'
name of concentration measure, currently only "HHI" is supported.
concentration aversion value(s)
list of vectors specifying the groups of the assets. Similar
to groups
in group_constraint
default arguments to be passed to an objective function when executed
TRUE/FALSE
any other passthru parameters
Ross Bennett
The conc_aversion
argument can be a scalar or vector of concentration
aversion values. If conc_aversion
is a scalar and conc_groups
is
NULL
, then the concentration aversion value will be applied to the overall
weights.
If conc_groups
is specified as an argument, then the concentration
aversion value(s) will be applied to each group.