[R-SIG-Finance] PortfolioAnalytics: Custom Constraint

Abhay Bhadani abhadani at gmail.com
Mon Sep 19 16:52:15 CEST 2016


Hi,

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).


Thanks!

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