Message-ID: <21871853.post@talk.nabble.com>
Date: 2009-02-06T12:49:50Z
From: ehxpieterse
Subject: Non-linear optimisation
In-Reply-To: <f6dc8443d54.498af9a8@johnshopkins.edu>
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.