Key Features

Count Constraint

Description

This might also be described as user-defined integer constraints.

The constraint limits the number of assets that appear in each category of a categorical variable. For example, there might be a constraint that there be between 6 and 8 assets from the Energy sector in the portfolio.

Implementation

Count constraints are implemented via the linear constraint machinery with lin.style="count". Count constraints are decidedly non-linear, but lumping them in with linear constraints is convenient.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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