key features

Monetary Value Constraints

Description

Control the amount of money in the portfolio.

Implementation

For long-only portfolios the amount of money allowed is controlled by the gross.value argument. This ultimately specifies a range of allowable values, but may be given a single number.

For long-short portfolios the possible arguments are gross.value, net.value, long.value and short.value. Each of these really specifies a range of allowable values, even if given a single number.

See also Turnover Constraint.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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