Suppose I have weights
6.250000e-02 1.250000e-01 1.250000e-01 -9.375000e-02 -6.250000e-02 -1.250000e-01 1.562500e-01 9.375000e-02 1.562500e-01 3.125000e-01 3.125000e-01 -3.125000e-02 -5.421011e-18 -6.250000e-02 -9.375000e-02 1.250000e-01
Now the sum of all these weights is
1, but I want to add a constraint that the minimum weight should be
0.02 and max
0.20 and also the sum should be one
Can anyone help?
I code in R and have got the weights by making a portfolio optimization without using