Solver for a generic optimal portfolio
Alec, I think you need to explain more fully what you would like to do. What objective do you want to optimize? What constraints do you want? Pat
On 13/03/2016 01:30, 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). Thanks! Alec [[alternative HTML version deleted]]
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