Dear R-sig-finance Group,
I have 3 of questions about the PortfolioAnalytics package:
1) I'm using DEOptim optimization. And I use the following initialization:
i.portf <- portfolio.spec(assets=allInstruments,
weight_seq=generatesequence(min = 0.001,
max = 0.06,
by = 0.002))
I believe that the initial portfolios are generated randomly using
random_portfolios. However, if I wanted to specifically pre-set one of
the portfolios to a given set of predefined weights, would that be possible
with DEOPtim?
2) I'm using group constraints to specify the sum of weights by group. For
example on Sectors:
for( jj in 1:length(uniqueSectors)){
group_indices <- which(sectors == uniqueSectors[jj])
groupsum <- sum(benchmark_weights[group_indices])
groupmax <- 0.1 + groupsum
groupmin <- -0.1 + groupsum
groupmins[jj] <- groupmin
groupmaxs[jj] <- groupmax
grouplist[[jj]] <- group_indices
}
i.portf <- add.constraint(portfolio=i.portf,
type="group",
groups=grouplis,
group_min=groupmins,
group_max=groupmaxs,
group_labels=groupnames)
There is nothing stopping me from making two separate add.constraint()
group calls by splitting the initial groups' constraints into 2
i.portf <- add.constraint(portfolio=i.portf,
type="group",
groups=grouplist[1:5],
group_min=groupmins[1:5],
group_max=groupmaxs[1:5],
group_labels=groupnames[1:5])
i.portf <- add.constraint(portfolio=i.portf,
type="group",
groups=grouplist[5:10],
group_min=groupmins[5:10],
group_max=groupmaxs[5:10],
group_labels=groupnames[5:10])
What is the difference when I split the group constraints into two instead
of 1? Based on my tests these two are not the same; it seems that
splitting the group constraints into 2 is less restrictive(?) than if I
just have one group add.constraint()
3) There is a maximum position constraint--for example
pspec <- add.constraint(portfolio=pspec, type="position_limit", max_pos=3)
Is there a reason that a minimum position constraint was not/cannot be
implemented?
Thanks & Regards,
-Ed
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