How to set BoundType Conditional to PortfolioCVar Object ?

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Flavio
Flavio le 17 Oct 2018
Commenté : Stephan le 20 Oct 2018
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
Stephan le 19 Oct 2018
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
Flavio le 19 Oct 2018
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 ?
Stephan
Stephan le 20 Oct 2018
I can not find such an option in the documentation, so that i would conclude that there is no corresponding option.

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