PortfolioAnalytics (version 2.1.0)

turnover_constraint: constructor for turnover_constraint

Description

The turnover constraint specifies a target turnover value. This function is called by add.constraint when type="turnover" is specified, see add.constraint. Turnover is calculated from a set of initial weights. Turnover is computed as sum(abs(initial_weights - weights)) / N where N is the number of assets.

Usage

turnover_constraint(
  type = "turnover",
  turnover_target,
  enabled = TRUE,
  message = FALSE,
  ...
)

Value

an object of class 'turnover_constraint'

Arguments

type

character type of the constraint

turnover_target

target turnover 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, turnover 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="turnover", turnover_target=0.6)