add.constraint.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/constraints.R
\name{add.constraint}
\alias{add.constraint}
\title{General interface for adding and/or updating optimization constraints.}
\usage{
add.constraint(
  portfolio,
  type,
  enabled = TRUE,
  message = FALSE,
  ...,
  indexnum = NULL
)
}
\arguments{
\item{portfolio}{an object of class 'portfolio' to add the constraint to, specifying the constraints for the optimization, see \code{\link{portfolio.spec}}}

\item{type}{character type of the constraint to add or update, currently 'weight_sum' (also 'leverage' or 'weight'), 'box', 'group', 'turnover', 'diversification', 'position_limit', 'return', 'factor_exposure', or 'leverage_exposure'}

\item{enabled}{TRUE/FALSE. The default is enabled=TRUE.}

\item{message}{TRUE/FALSE. The default is message=FALSE. Display messages if TRUE.}

\item{\dots}{any other passthru parameters to specify constraints}

\item{indexnum}{if you are updating a specific constraint, the index number in the $constraints list to update}
}
\description{
This is the main function for adding and/or updating constraints to the \code{\link{portfolio.spec}} object.
}
\details{
The following constraint types may be specified:
\describe{
\item{\code{weight_sum}, \code{weight}, \code{leverage}}{ Specify constraint on the sum of the weights, see \code{\link{weight_sum_constraint}} }
\item{\code{full_investment}}{ Special case to set \code{min_sum=1} and \code{max_sum=1} of weight sum constraints }
\item{\code{dollar_neutral}, \code{active}}{ Special case to set \code{min_sum=0} and \code{max_sum=0} of weight sum constraints }
\item{\code{box}}{ box constraints for the individual asset weights, see \code{\link{box_constraint}} }
\item{\code{long_only}}{ Special case to set \code{min=0} and \code{max=1} of box constraints }
\item{\code{group}}{ specify the sum of weights within groups and the number of assets with non-zero weights in groups, see \code{\link{group_constraint}} }
\item{\code{turnover}}{ Specify a constraint for target turnover. Turnover is calculated from a set of initial weights, see \code{\link{turnover_constraint}} }
\item{\code{diversification}}{ target diversification of a set of weights, see \code{\link{diversification_constraint}} }
\item{\code{position_limit}}{ Specify the number of non-zero, long, and/or short positions, see \code{\link{position_limit_constraint}} }
\item{\code{return}}{ Specify the target mean return, see \code{\link{return_constraint}}}
\item{\code{factor_exposure}}{ Specify risk factor exposures, see \code{\link{factor_exposure_constraint}}}
\item{\code{leverage_exposure}}{ Specify a maximum leverage exposure, see \code{\link{leverage_exposure_constraint}}}
}
}
\examples{
data(edhec)
returns <- edhec[, 1:4]
fund.names <- colnames(returns)
pspec <- portfolio.spec(assets=fund.names)

# Add the full investment constraint that specifies the weights must sum to 1.
pspec <- add.constraint(portfolio=pspec, type="weight_sum", min_sum=1, max_sum=1)

# The full investment constraint can also be specified with type="full_investment"
pspec <- add.constraint(portfolio=pspec, type="full_investment")

# Another common constraint is that portfolio weights sum to 0.
pspec <- add.constraint(portfolio=pspec, type="weight_sum", min_sum=0, max_sum=0)
pspec <- add.constraint(portfolio=pspec, type="dollar_neutral")
pspec <- add.constraint(portfolio=pspec, type="active")

# Add box constraints
pspec <- add.constraint(portfolio=pspec, type="box", min=0.05, max=0.4)

# min and max can also be specified per asset
pspec <- add.constraint(portfolio=pspec, 
                        type="box", 
                        min=c(0.05, 0, 0.08, 0.1), 
                        max=c(0.4, 0.3, 0.7, 0.55))
                        
# A special case of box constraints is long only where min=0 and max=1
# The default action is long only if min and max are not specified
pspec <- add.constraint(portfolio=pspec, type="box")
pspec <- add.constraint(portfolio=pspec, type="long_only")

# Add group constraints
pspec <- add.constraint(portfolio=pspec, 
                        type="group", 
                        groups=list(c(1, 2, 1), 4), 
                        group_min=c(0.1, 0.15), 
                        group_max=c(0.85, 0.55), 
                        group_labels=c("GroupA", "GroupB"), 
                        group_pos=c(2, 1))

# Add position limit constraint such that we have a maximum number 
# of three assets with non-zero weights.
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)

# Add diversification constraint
pspec <- add.constraint(portfolio=pspec, type="diversification", div_target=0.7)

# Add turnover constraint
pspec <- add.constraint(portfolio=pspec, type="turnover", turnover_target=0.2)

# Add target mean return constraint
pspec <- add.constraint(portfolio=pspec, type="return", return_target=0.007)

# Example using the indexnum argument
portf <- portfolio.spec(assets=fund.names)
portf <- add.constraint(portf, type="full_investment")
portf <- add.constraint(portf, type="long_only")

# indexnum corresponds to the index number of the constraint
# The full_investment constraint was the first constraint added and has 
# indexnum=1
portf$constraints[[1]]

# View the constraint with indexnum=2
portf$constraints[[2]]

# Update the constraint to relax the sum of weights constraint
portf <- add.constraint(portf, type="weight_sum", 
min_sum=0.99, max_sum=1.01, 
indexnum=1)

# Update the constraint to modify the box constraint
portf <- add.constraint(portf, type="box", 
min=0.1, max=0.8, 
indexnum=2)
}
\seealso{
\code{\link{portfolio.spec}}
\code{\link{weight_sum_constraint}}, 
\code{\link{box_constraint}}, 
\code{\link{group_constraint}}, 
\code{\link{turnover_constraint}}, 
\code{\link{diversification_constraint}}, 
\code{\link{position_limit_constraint}}, 
\code{\link{return_constraint}}, 
\code{\link{factor_exposure_constraint}},
\code{\link{leverage_exposure_constraint}}
}
\author{
Ross Bennett
}