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Quadratic optimization problem

3 messages · Enrico De Giorgi, Adam Gehr, Dirk Eddelbuettel

Original
Enrico De Giorgi
# 
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

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Adam Gehr
# 
I've been using the solve.QP function in the quadprog
package to solve that problem. It's just a matter of setting
up matrices with the proper constraints.
Enrico De Giorgi wrote:
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Dirk Eddelbuettel
#
On Wed, Aug 21, 2002 at 09:05:03AM +0200, Enrico De Giorgi wrote:
Try 
	library(tseries)
	help(portfolio.optim)

Hth, Dirk