parma - What kind of portfolio do I get ?
Dear R-SIGs, Thanks for explaining the meaning of "targetType". I'm using this code snippet: ###### require( parma ) require( corpcor ) # ... means = colMeans( data ) S = cov( data ) if( ! is.positive.definite( S )) S = make.positive.definite( S ) spec = parmaspec( S=S, risk='EV', riskType='minrisk', target=min( means ), # <----------------------- targetType='inequality', forecast=means ) p = parmasolve( spec, solver='SOCP' ) reward = parmareward( p ) risk = parmarisk( p ) ###### I get good results and would like to know, what kind of portfolio I'm getting. I guess the result portfolio (reward and risk) is on the frontier. I don't think it is the mean risk portfolio, because the result depends on parameter "target". The "best" results I get with: target=min( means ). Worse results I get with: target=0. All I know is, that reward >= target. But how is the reward and the portfolio calculated ? Thanks in advance, Uwe