[R-SIG-Finance] PortfolioAnalytics Group Constraint

Peter peter.michaels at gmail.com
Fri Apr 17 19:02:15 CEST 2015


I am just starting to use PortfolioAnalytics and I am trying to set up a
group constraint that dynamically adjusts the min/max based on the date.

I want to constrain the portfolio sector weights to always be +/- 2% from
the benchmark sector weights.  Is it possible to set the constraint so that
I can provide a function which resets the min/max parameters?  I don't see
how the optimize.portfolio.rebalancing call can be used for a benchmark-ed
portfolio without changing the group constraint for every rebalance period.

Thank you for your help.

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