pos_limit_fail

This is used as a helper function for <code>rp_transform</code> to check
for violation of position limit constraints. The position limit constraints
checked are max_pos, max_pos_long, and max_pos_short.

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

pos_limit_fail function

<dl><dt>weights</dt>
<dd>vector of weights to test</dd>
<dt>max_pos</dt>
<dd>maximum number of assets with non-zero weights</dd>
<dt>max_pos_long</dt>
<dd>maximum number of assets with long (i.e. buy) positions</dd>
<dt>max_pos_short</dt>
<dd>maximum number of assets with short (i.e. sell) positions</dd></dl>

Arguments

function to check for violation of position limits constraints — pos_limit_fail

<dl>

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


<dt>max_pos</dt>
<dd>maximum number of assets with non-zero weights</dd>


<dt>max_pos_long</dt>
<dd>maximum number of assets with long (i.e. buy) positions</dd>


<dt>max_pos_short</dt>
<dd>maximum number of assets with short (i.e. sell) positions</dd>

</dl>

function to check for violation of position limits constraints

pos_limit_fail: function to check for violation of position limits constraints

Description

Usage

Value

Arguments