R语言 fPortfolio包 portfolioConstraints()函数中文帮助文档(中英文对照)

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portfolioConstraints(fPortfolio)
portfolioConstraints()所属R语言包：fPortfolio

                                        Portfolio Constraints
                                         组合受约束

                                         译者：生物统计家园网 机器人LoveR

描述----------Description----------

Computes portfolio constraints given constraints strings.
计算投资组合的限制，给定的约束字符串。


用法----------Usage----------


portfolioConstraints(data, spec = portfolioSpec(), constraints = "LongOnly", ...)

minWConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
maxWConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")

eqsumWConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
minsumWConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
maxsumWConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")

minBConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
maxBConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")

listFConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
minFConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")
maxFConstraints(data, spec = portfolioSpec(), constraints = "LongOnly")



参数----------Arguments----------

参数：constraints
a character value or character vector, containing the constraint strings. Setting constraints is described in the details section  
一个字符值或字符向量，包含约束的字符串。在细节部分设置的限制


参数：data
a list, having a statistics named list, having named entries 'mu' and 'Sigma', containing the information of the statistics<br>
一个列表，有一个统计命名的列表，命名项目亩和Sigma，包含的信息的统计参考


参数：spec
an S4 object of class fPFOLIOSPEC as returned by the function portfolioSpec.
S4对象的类fPFOLIOSPEC返回的功能portfolioSpec。


参数：...
arguments passed to the function .setRdonlp2Constraints. For internal use only.
参数传递函数.setRdonlp2Constraints。仅供内部使用。


Details

详细信息----------Details----------

How to define constraints? <br><br> Constraints are defined by a character string or a vector of character strings.
如何定义约束？ <BR>的参考约束被定义为一个字符串或一个字符串向量。

Summary Constraints: NULL, "LongOnly", "Short"
摘要约束：NULL，“LongOnly”，“短”

There are three special cases, the settings constraints=NULL, constraints="Short", and constraints="LongOnly". Note, that these three constraint settings are not allowed to be combined  with more general constraint definitions.
有三个特殊的情况下，设置constraints=NULL，constraints="Short"和constraints="LongOnly"。请注意，这三个约束条件设置是不允许的结合更一般的约束定义。

NULL: This selection defines the default value and is equivalent to the "LongOnly" case, see below.
NULL：此选项定义了默认值相当于"LongOnly"情况下，请参阅下文。

"Short": This selection defines the case of unlimited short selling. i.e. each weight may range between -Inf and Inf.  Consequently, there are no group constraints. Risk budget constraints are not included in the portfolio optimization.
"Short"：此选项定义无限卖空的情况下。即每个重量介于-Inf和Inf。因此，有没有限制。风险预算约束不包括在投资组合优化。

"LongOnly": This selection is the same as the default setting. Each weight may range between 0 ans 1. No group constraints and risk budget constraints will be included in the  portfolio optimization.
"LongOnly"：此选项为默认设置是一样的。每件重量范围可以之间0答1的。没有任何一个团体的约束和风险预算的限制将被纳入投资组合优化。

Lower and Upper Bounds: minW and maxW
下和上的边界：minW和maxW

Group Constraints: eqsumW, minsumW and maxsumW
的组约束eqsumW，minsumW和maxsumW

Lower and upper bounded portfolios may be specified by a vector of character strings which describe executable code, setting values to to vectors minW, maxW, minsumW, and maxsumW. The individual string elements of the vector have the following form:
下和上界的投资组合，可以指定一个字符串向量描述可执行代码，设定值向量minW，maxW，minsumW和maxsumW。单个字符串元素的向量有以下形式：

  


box constraints "minW[Asset(s)]=Value(s)", and/or <br> "maxW[Asset(s)]=Value(s)".  
框式约束"minW[Asset(s)]=Value(s)"，和/或参考"maxW[Asset(s)]=Value(s)"。

sector constraints "minsumW[Asset(s)]=Value(s)", and/or <br> "maxsumW[Asset(s)]=Value(s)".     
部门的限制"minsumW[Asset(s)]=Value(s)"，和/或<br>"maxsumW[Asset(s)]=Value(s)"。

Asset(s) is an index of one or more assets, and value  a numeric value or vector assigning the desired value. Note, if the  values range between zero and one, then we have a long only  portfolio allowing for box and group constraints of the weights. If  the values are set to negative values, and values larger than one,  then (constrained) short selling will be allowed.
Asset(s)是一个索引的一个或多个资产，value数值或矢量分配所需的值。请注意，如果values范围在零和一之间，那么，我们还有很长的组合框和组的权重限制，允许。如果值被设置为负值，值大于1，则（约束）卖空将被允许。

Risk Budget Constrained Portfolios:
风险预算约束的投资组合：

By default, risk budgets are not included in the portfolio optimization. Covariance risk budgets have to be added explicitely, and have the  following form:
默认情况下，风险预算不包括在投资组合优化。协方差风险预算必须明确地，有以下形式：

  


box constraints "minB[Asset(s)]=Value(s)", and/or <br> "minB[Asset(s)]=Value(s)".   
框式约束"minB[Asset(s)]=Value(s)"，和/或参考"minB[Asset(s)]=Value(s)"。

Again, Asset(s) is an index of one or more assets, and value  a numeric value or vector with numbers ranging between zero and one, assigning the desired risk budgets.
同样，Asset(s)是索引的一个或多个资产，并value数值或向量范围内的数字，零和一之间，分配所需的风险预算。

Note, risk budget constraints will enforce diversification at the  expense of return generation. The resulting portfolios will thus lie  below the unconstrained efficient frontier.
请注意，在风险预算的限制将强制执行多样化的费用产生的回报。由此产生的投资组合，从而之下无约束的有效前沿。

Non-Linear Constraints: listF, minF, maxF
非线性约束：listF，MINF，MAXF


值----------Value----------

an object of class S4.
对象的类S4。


参考文献----------References----------


Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics,  Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


实例----------Examples----------


## constraints -[＃限制 - ]
   Constraints <- "LongOnly"
   

转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。


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