How to set BoundType Conditional to PortfolioCVar Object ?

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Flavio 2018-10-17

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评论： Stephan 2018-10-20

How can I set the lower bounds of a PortfolioCVar object conditional to be 0 or 0.02 (for example) ? This function exists in the Portfolio object, but not in PortfolioCVar. Is there another way to do it ?

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Stephan 2018-10-19

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Hi,

check setBounds which is the function to:

Set up bounds for portfolio weights for PortfolioCVaR or PortfolioMAD objects

Best regards

Stephan

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Flavio 2018-10-19

Yes, I knew that, however it doesn’t have the ‘Conditional’ option as you have in the Portfolio object. Is there another way to do the same thing for the PortfilioCVaR ?