Re: [R] portfolio optimization problem - use R

From: José Augusto Jr. <jamajbr_at_gmail.com>
Date: Mon, 21 Jul 2008 14:02:36 -0300

You could try the fPortfolio package.

Wish helps.

jamaj

2008/7/21, fzp2008 <zhangpeng.feng03_at_ic.ac.uk>:
>
> How to use R to solve the optimisaton problem
>
> Minimize:
> ˝*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
> ˝*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position
>
> W: is the update weight of portfolio
> Wo is the initial weight of portfolio
>
> Omega is the variance covariance matrix
>
> mu is the vector of return rate of stocks in the portfolio
>
> C is the vector coefficient of transaction cost
>
> Is it a quandratic programming problem? Then how to write the objective
> function? Or any other method to solve this?
>
> --
> View this message in context: http://www.nabble.com/portfolio-optimization-problem---use-R-tp18570399p18570399.html
> Sent from the R help mailing list archive at Nabble.com.
>
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>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 21 Jul 2008 - 17:11:50 GMT

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