Description
Limit the fraction of the value of the portfolio that each asset may have.
This can be general, such as no asset can have a weight greater than 5%. Alternatively, it can be specific to each asset.
Implementation
The max.weight argument controls this constraint in Portfolio Probe.
Weight in long-short portfolios is defined in Portfolio Probe as the position value divided by the gross value of the portfolio. So the sum of the absolute value of the weights is always equal to 1.
An alternative way of imposing these constraints is with the positions argument.
