active.extension {portfolio.optimization} | R Documentation |
active.extension
adds corresponding long/short constraints for a
diverse set of active extension portfolios (e.g. 130/30 portfolios)
active.extension(model, up = 130, down = 30)
model |
the portfolio.model to activate |
up |
percentage long (e.g. 130) |
down |
percentage short (e.g. 30) |
portfolio.model with active extension enabled
Ronald Hochreiter, ronald@algorithmic.finance