[R] A question on the quandratic programming

From: <Yunlei.Hu_at_barclayscapital.com>
Date: Mon, 21 Jul 2008 10:03:21 +0100


Dear all

I have a optimization problem as follows. And would appreaciated if someone can give me the reply soon.

I aim to optimize the portfolio in considering the transaction cost. Hence the objective function is:

Min: 1/2 w^T* omega*w-mu^T*w-c^T*(w-w0) when w[i]>wo[i]

        
       1/2 w^T* omega*w-mu^T*w+c^T*(w0-w) when w[i]<w0[i]


Where w is the update weight vector of the portfolio
         omiga is the variance-covariance matrix
  mu is the vector of the return rate
 wo is the initial vector weight
C is the coefficient of transaction cost

It is in a bit of emergency. I would be really appreciated if anybody can give me the reply ASAP.

Many thanks
Yunlei


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