I've never been able to get portfolioanalytics to work for me. It looks like a nice little addition to the R arsenal but we just weren't meant to work together. I figured what the heck I'll try this code and I got the same error message I usually get:

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`Error in optimize.portfolio(R = returns, portfolio = pspec, optimize_method = "pso", :`

`unused arguments (R = returns, portfolio = pspec, optimize_method = "pso", trace = TRUE)`

I've installed all the dependent (or at least I think I have) but to no avail. I installed pso, all the different ROI packages, Rcmdr. I've seen other people with the same issue but did not see a solution. Any help is much appreciated. Jason On Sep 19, 2016, at 08:03 AM, "Brian G. Peterson" <br...@braverock.com> wrote: On Mon, 2016-09-19 at 20:22 +0530, Abhay Bhadani wrote: I just started exploring PortfolioAnalytics package. Similar to setting up custom objective functions, is there a way to set up custom constraints too? I would like to know how to set up cardinality constraint (i.e., limiting number of assets in a portfolio). cardinality constraints are already supported via the 'position_limit' constraint which is an integer constraint limiting the maximum number of non-zero weight positions in the portfolio. It may be added like this: pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3, enabled=TRUE) assuming that your portfolio specification object is 'pspec'. As with other constraint types, this may not be efficiently supported by all optimization engines. (This is a limitation of the underlying

`optimizers/solvers, not of PortfolioAnalytics).`

On a more general note, any constraint may be expressed as an objective by creating a penalty for violating the constraint. As noted above, this may lead to very inefficient or non-converging optimization. Regards, Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.

_______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.