Is there a general solution (package) for a portfolio optimization ?
It is indeed an optimizer constraint on the target portfolio return. As the documentation explains, the "minrisk" portfolio minimizes risk subject to a target return. This can either be: 1. 'hard' target (equality) (minimize risk s.t. portfolio return == target). 2. 'soft' target (inequality) (minimize risk s.t. portfolio return >= target). As to the budget constraint, the SOCP solver now allows to include a sum(abs(weights)) constraint for long-short optimization (when using a covariance matrix) without having to do any special tricks (as for instance discussed here: https://stat.ethz.ch/pipermail/r-sig-finance/2013q4/011972.html). This is documented in Section 4.4 of the vignette. -Alexios
On 14/07/2014 12:14, Michael Weylandt wrote:
On Jul 14, 2014, at 6:38, u0055 at wolke7.net wrote: Dear R-SIGs, Is there anybody out there working with parma ? It's a great package. I can use parts of it, but don't understand everything. Does anybody know the function of parameter "targetType" in method "parmaspec()" ? The documentation says, it's Whether the target should be a hard equality or inequality. What does that mean ?
It sounds like it defines the form of an optimizer constraint. E.g., if you weren't allowed to lever a portfolio, you could put \sum w_i either =1 or <=1, depending on whether you are willing to hold cash. The former would be a 'hard equality'; the latter an inequality constraint. This is just speculation based on the description you gave. Check the package docs and source to confirm. Michael
Are there good resources about that theme in the internet ? Thanks in advance, Uwe
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