Solver for a generic optimal portfolio
Brian/Mark/Patrick, Thanks for answering my curiosity on Saturday night. I just come across the Willenbrock's paper http://arxiv.org/abs/1109.1256 and wonder if it makes sense to optimize so-called diversification return (eq 13) and, if yes, what tool you might suggest. Best, Alec
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Saturday, March 12, 2016 8:38 PM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Solver for a generic optimal portfolio
Sent: Saturday, March 12, 2016 8:38 PM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Solver for a generic optimal portfolio
On 03/12/2016 07:30 PM, Alec Schmidt wrote: > I'd like to estimate weights of an optimal portfolio other than min > variance portfolio by replacing covariance matrix with something > else. Is there an R package that can do this (my understanding is > that solve.QP is not helpful for this task). Alec, You'll need to be a little more specific about what your target objectives and constraints are if someone is going to be able to help you. For some objectives and constraints, quadratic, linear, or conical solvers can be used. For other objective and constraint combinations, you'll need a global stochastic solver. Without understanding precisely what you're trying to do, no one can give you an answer about which package(s) will be best for your problem. I can say that I think of any portfolio formulation I can come up with may be solved with R. Regards, Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.