@sirishan wrote:
Can some one help me on the below ?
1)How to add risk constraint in PortfolioAnalytics?
I have tried adding the return as constraint,risk as objective function and its working fine. Can’t we do return as objective function and risk as constraint ?
- when i execute this code, i got the below result and would need help here to interpret the output .
p <- portfolio.spec(assets = c(“WST”,“HDB”,“PAM”,“CRL”,“JPM”))
p<- add.constraint(p, type = “box”, min = 0.05, max = 0.8)
p <-add.constraint(portfolio = p, type = “full_investment”)
maxret.port <- add.objective(p, type = “return”,name = “mean”)
minvar.port <- add.objective(maxret.port, type = “risk”, name = “var”)
minvar.port <- optimize.portfolio(returns.data, minvar.port, optimize_method = “ROI”)
minvar.port
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