[Returnanalytics-commits] r3046 - pkg/PortfolioAnalytics/R

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

Author: rossbennett34
Date: 2013-09-10 21:29:51 +0200 (Tue, 10 Sep 2013)
New Revision: 3046

Modified:
   pkg/PortfolioAnalytics/R/constrained_objective.R
Log:
Adding penalty term for transaction costs to constrained_objective.

Modified: pkg/PortfolioAnalytics/R/constrained_objective.R
===================================================================
--- pkg/PortfolioAnalytics/R/constrained_objective.R	2013-09-10 17:47:18 UTC (rev 3045)
+++ pkg/PortfolioAnalytics/R/constrained_objective.R	2013-09-10 19:29:51 UTC (rev 3046)
@@ -495,6 +495,15 @@
       }
     }
   } # End factor exposure constraint penalty
+  
+  # Add penalty for transaction costs
+  if(!is.null(constraints$ptc)){
+    # calculate total transaction cost using portfolio$assets as initial set of weights
+    tc <- sum(abs(w - portfolio$assets) * constraints$ptc)
+    # for now use a multiplier of 1, may need to adjust this later
+    mult <- 1
+    out <- out + penalty * mult * tc
+  } # End transaction cost penalty
     
   nargs <- list(...)
   if(length(nargs)==0) nargs <- NULL