Message-ID: <429754C4.8030001@burns-stat.com>
Date: 2005-05-27T19:12:08Z
From: Patrick Burns
Subject: Long-short balanced portfolio optimization
In-Reply-To: <17047.18367.608152.546677@gargle.gargle.HOWL>
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
>
>
>
>