[Returnanalytics-commits] r2783 - pkg/PortfolioAnalytics/R

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2013-08-14 18:24:03 +0200 (Wed, 14 Aug 2013)
New Revision: 2783

Modified:
   pkg/PortfolioAnalytics/R/constrained_objective.R
Log:
adding code in constrained_objective_v2 to penalize weights that do not satisfy the factor exposure constraint

Modified: pkg/PortfolioAnalytics/R/constrained_objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/constrained_objective.R	2013-08-14 16:15:37 UTC (rev 2782)
+++ pkg/PortfolioAnalytics/R/constrained_objective.R	2013-08-14 16:24:03 UTC (rev 2783)
@@ -526,6 +526,23 @@
     mult <- 1
     out = out + penalty * mult * abs(mean_return - return_target)
   } # End return constraint penalty
+  
+  # penalize weights that violate factor exposure constraints
+  if(!is.null(constraints$B)){
+    t.B <- t(constraints$B)
+    lower <- constraints$lower
+    upper <- constraints$upper
+    mult <- 1
+    for(i in 1:nrow(t.B)){
+      tmpexp <- as.numeric(t(w) %*% t.B[i, ])
+      if(tmpexp < lower[i]){
+        out <- out + penalty * mult * (lower[i] - tmpexp)
+      }
+      if(tmpexp > upper[i]){
+        out <- out + penalty * mult * (tmpexp - upper[i])
+      }
+    }
+  } # End factor exposure constraint penalty
     
   nargs <- list(...)
   if(length(nargs)==0) nargs <- NULL