active.extension function

Enable active extension portfolios

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)

Arguments

• model: the portfolio.model to activate
• up: percentage long (e.g. 130)
• down: percentage short (e.g. 30)

Returns

portfolio.model with active extension enabled

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance