Message-ID: <56E4C411.8050303@burns-stat.com>
Date: 2016-03-13T01:36:17Z
From: Patrick Burns
Subject: Solver for a generic optimal portfolio
In-Reply-To: <1457832636634.41311@stevens.edu>
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
>
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>
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--
Patrick Burns
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