group_fail

The function loops through each group and tests if cLO or cUP have been violated
for the given group. This is a helper function for <code>rp_transform</code>.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

group_fail function

<dl><dt>weights</dt>
<dd>weights vector to test</dd>
<dt>groups</dt>
<dd>list of vectors specifying the groups of the assets</dd>
<dt>cLO</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>
<dt>cUP</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>
<dt>group_pos</dt>
<dd>vector specifying the number of non-zero weights per group</dd></dl>

Arguments

Author

Test if group constraints have been violated — group_fail

<dl>

<dt>weights</dt>
<dd>weights vector to test</dd>


<dt>groups</dt>
<dd>list of vectors specifying the groups of the assets</dd>


<dt>cLO</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>


<dt>cUP</dt>
<dd>numeric or vector specifying minimum weight group constraints</dd>


<dt>group_pos</dt>
<dd>vector specifying the number of non-zero weights per group</dd>

</dl>

Test if group constraints have been violated

group_fail: Test if group constraints have been violated

Description

Usage

Value

Arguments

Author