Quadratic optimization problem

Date: Wed, 21 Aug 2002 09:05:03 +0200
From: "Enrico De Giorgi" <degiorgi at math.ethz.ch>
Subject: [R] Quadratic optimization problem

I hope that someone can help me with the following question:
I would like to solve the Markowitz optimization problem WITH short-sale
constraints.
Maybe a procedure to solve a quadratic optimization problem with convex
constraints and positive variables is already implemented in R?

Thank you very much,

edg

Have a look at portfolio.optim() from tseries.

best
Adrian

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