turnover_constraint.Rd

\name{turnover_constraint}
\alias{turnover_constraint}
\title{constructor for turnover_constraint}
\usage{
  turnover_constraint(type = "turnover", turnover_target,
    enabled = TRUE, message = FALSE, ...)
}
\arguments{
  \item{type}{character type of the constraint}

  \item{turnover_target}{target turnover value}

  \item{enabled}{TRUE/FALSE}

  \item{message}{TRUE/FALSE. The default is message=FALSE.
  Display messages if TRUE.}

  \item{\dots}{any other passthru parameters to specify box
  and/or group constraints}
}
\value{
  an object of class 'turnover_constraint'
}
\description{
  The turnover constraint specifies a target turnover
  value. This function is called by add.constraint when
  type="turnover" is specified, see
  \code{\link{add.constraint}}. Turnover is calculated from
  a set of initial weights.
}
\details{
  Note that with the ROI solvers, turnover constraint is
  currently only supported for the global minimum variance
  and quadratic utility problems with ROI quadprog plugin.
}
\examples{
data(edhec)
ret <- edhec[, 1:4]

pspec <- portfolio.spec(assets=colnames(ret))

pspec <- add.constraint(portfolio=pspec, type="turnover", turnover_target=0.6)
}
\author{
  Ross Bennett
}
\seealso{
  \code{\link{add.constraint}}
}