I am wondering if it is possible to set a constraint on a portfolio based on a unique value assigned to each asset.
Simple example -- I have 3 assets and they have different investment expenses.
Asset 1 - 0.10%
Asset 2 - 0.20%
Asset 3 - 0.50%
Is there a way to implement a constraint that would keep the total portfolio investment expense less than 0.25%?
Asset 1 * 0.10% * Weight + Asset 2 * 0.20% * Weight + Asset 3 * 0.50% * Weight <= 0.25%
I am open to other packages in R but hoping this is possible in the fportfolio.