Non-linear optimisation

Hi Ravi,

To give you some background:

The function compute_strategy_before_fees returns portfolio returns and
standard deviation. Our optimal portfolio will maximise the returns whilst
keeping the standard deviation at a certain level.

We have an input matrix C that the function uses to calculate the asset
weights in the portfolio over time. Problem is that I am a complete R novice
and would not know where to start in optimising this in R.

Could you please give some guidance on using the R functions?

Thanks,
Eduard

View this message in context: http://www.nabble.com/Non-linear-optimisation-tp21856818p21871853.html
Sent from the R help mailing list archive at Nabble.com.