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)).

Usage

leverage_exposure_constraint(
  type = "leverage_exposure",
  leverage = NULL,
  enabled = TRUE,
  message = FALSE,
  ...
)

Arguments

type: character type of the constraint
leverage: maximum leverage value
enabled: TRUE/FALSE
message: 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.

Examples

Run this code

data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

pspec <- add.constraint(portfolio=pspec, type="leverage_exposure", leverage=1.6)