constraints.realized {PortfolioProbe}R Documentation

Show Violations of Linear Constraints

Description

Returns a list of matrices containing the bounds, the achieved level, plus the amount it violates the nearest bound or else the proximity to the nearest bound if it is not violated. Components of the list correspond to linear (and count) constraints, and distance constraints.

Usage

constraints.realized(portfol, lin.constraints, prices = portfol$prices,
	lin.table=portfol$lin.table, lin.trade = NULL, lin.abs = NULL, 
	lin.style = NULL, lin.direction = NULL, lin.riskfrac.col = NULL,
	risk.fraction = portfol$risk.fraction, exclude.inf = FALSE)

Arguments

portfol

required. An object of class portfolBurSt (or a similar object).

lin.constraints

required. matrix or data frame describing the linear constraints.

prices

named vector of prices containing (at least) all of the assets involved with the constraints.

lin.bounds

a two-column matrix giving the bounds for (some of) the constraints.

lin.table

a data frame describing (some of) the constraints. Values within this can be overridden by the other arguments.

lin.trade

logical vector stating which columns of lin.constraints refer to constraints on the trade (as opposed to on the portfolio). This is replicated if necessary.

lin.abs

logical vector stating which columns of lin.constraints are absolute constraints (constraints on the gross as opposed to the net). This is replicated if necessary.

lin.style

character vector stating the style of each of the linear constraints.

lin.direction

numeric vector stating the direction of each of the linear constraints.

lin.riskfrac.col

numeric vector stating the column of risk.fraction to be used in the constraint.

risk.fraction

matrix giving the risk fraction values.

exclude.inf

logical value stating whether or not (sub)constraints whose bounds are both infinite should be dropped. If all bounds are infinite, this is effectively forced to be FALSE.

Value

a list with component linear which itself has components:

constraints

matrix containing the realized value for each (sub)constraint, along with possible information pertaining to bounds.

lin.table

data frame giving the settings for the constraints.

Details

If there are no bounds given explicitly or by default for the linear constraints, then infinite bounds are created for all of the constraints and exclude.inf is forced to be FALSE.

This function produces the con.realized component of the output of trade.optimizer – this component is part of the output of the summary for such objects.

Revision

This help was last revised 2012 June 06.

See Also

build.constraints, summary.portfolBurSt, trade.optimizer.

Examples

my.sc <- matrix(c("energy", "telecom", "energy", "Germany", "France",
	"France"), nrow=3, ncol=2, dimnames=list(c("Asset 1", "Asset 2",
	"Asset 3"), c("Sector", "Country")))
my.constr <- build.constraints(my.sc)
my.constr$bounds[,1] <- c(-.05, -.10, 0, .05)
my.constr$bounds[,2] <- c(.15, .15, .20, .55)

op <- trade.optimizer(prices, varian, 
	lin.constraints=my.constr$lin.constraints,
	lin.bounds=my.constr$bounds, gross.value=1e6, 
	net.value=c(-1e5, 6e5))

constraints.realized(op, my.constr$lin.constraints, 
	bounds=my.constr$bounds)

op2 <- trade.optimizer(prices, varian, gross.value=1e6, 
	net.value=c(-1e5, 6e5))

# view values for unconstrained portfolio
constraints.realized(op2, my.constr$lin.constraints)
[Package PortfolioProbe version 1.06 Index]