How to set BoundType Conditional to PortfolioCVar Object ?

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 ?

Answer 1

[Stephan]

Hi,

check setBounds which is the function to:

Set up bounds for portfolio weights for PortfolioCVaR or PortfolioMAD objects

Best regards

Stephan

[Flavio]

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]

I can not find such an option in the documentation, so that i would conclude that there is no corresponding option.