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我正在尝试执行标准的投资组合优化，但限制允许投资组合的最终权重偏离一组初始权重。我用这个PortfolioAnalytics包做这个，下面的代码是一个没有任何错误的 MWE。

# load packages and data
library(quadprog)
library(PortfolioAnalytics)
data(edhec)
dat <- edhec[,1:4]

# add initial weights to initial portfolio
funds <- c("Convertible Arbitrage" = 0.4, "CTA Global" = 0.3, "Distressed Securities" = 0.2, "Emerging Markets" = 0.1)
init.portf <- portfolio.spec(assets=funds)

# standard constraints & objectives
init.portf <- add.constraint(portfolio=init.portf, type="box", min_w=0, min_sum=0.99, max_sum=1.01)
init.portf <- add.objective(portfolio=init.portf, type="return", name="mean") 
init.portf <- add.objective(portfolio=init.portf, type="risk", name="StdDev")

# TURNOVER CONSTRAINT (MATTER OF THIS THREAD)
init.portf <- add.constraint(portfolio=init.portf, type="turnover", turnover_target=0)

# optimize portfolio
opt.portf <- optimize.portfolio(R=dat, portfolio=init.portf, trace=TRUE, optimize_method="random")

# check the weights of optimized portfolio
print.default(opt.portf$weights)

turnover_target是0，所以输出权重应该与输入权重相同，(0.4, 0.3, 0.2, 0.1)但它们的权重相等(0.25, 0.25, 0.25, 0.25)。等权重是默认的初始权重，所以不知何故，我设置的初始权重似乎无法识别。但是查看add.constraint或rolling_constraint的文档并没有多大帮助。看起来好像一切都应该正常工作。他们定义初始权重的方式与portfolio.spec的文档相匹配

有谁知道为什么我的初始权重被营业额约束忽略了？

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1 回答 1

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似乎 0 的营业额约束是问题所在，因为以下代码运行（新turnover_target = 0.1）：

pf2 <- portfolio.spec(assets = funds)
pf2 <- add.constraint(pf2,
                      type="box", 
                      min_w = 0,
                      min_sum = 0.99,
                      max_sum = 1.01,
                      min=c(0.35, 0.25, 0.15, 0.05), 
                      max=c(0.45, 0.35, 0.25, 0.15))

pf2 <- add.constraint(portfolio=pf2, type="turnover", turnover_target=0.1)

# optimize portfolio
pf2 <- optimize.portfolio(R=dat, portfolio=pf2, trace=TRUE, optimize_method="random")

# check the weights of optimized portfolio
> print.default(pf2$weights)
Convertible Arbitrage            CTA Global Distressed Securities      Emerging Markets 
                0.350                 0.340                 0.248                 0.062
于 2021-11-19T09:55:52.380 回答