PortfolioAnalytics (version 2.1.0)

transaction_cost_constraint: constructor for transaction_cost_constraint

Description

The transaction cost constraint specifies a proportional cost value. This function is called by add.constraint when type="transaction_cost" is specified, see add.constraint.

Usage

transaction_cost_constraint(
  type = "transaction_cost",
  assets,
  ptc,
  enabled = TRUE,
  message = FALSE,
  ...
)

Value

an object of class 'transaction_cost_constraint'

Arguments

type

character type of the constraint

assets

number of assets, or optionally a named vector of assets specifying initial weights

ptc

proportional transaction cost value

enabled

TRUE/FALSE

message

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, proportional transaction cost constraint is currently only supported for the global minimum variance and quadratic utility problems with ROI quadprog plugin.

See Also

add.constraint

Examples

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

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

pspec <- add.constraint(portfolio=pspec, type="transaction_cost", ptc=0.01)