Long-short balanced portfolio optimization
If you are willing to pay money for the software, POP can do that. Patrick Burns Burns Statistics patrick@burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")
Jeff Enos wrote:
R-sig-finance, I have a vector of expected returns and a covariance matrix and would like to perform mean-variance portfolio optimization with the constraint that the portfolio be long-short balanced, that is, sum(weights) == 0. It doesn't look like portfolio.optim in the tseries package supports this constraint -- has anyone already solved this problem somewhere I've missed? Thanks, Jeff