Portfolio Optimization
You can do this w/ solve.QP. use something like this: solve.QP(lambda*2*vcv,fcst,Amat,bvec) and set up Amat and bvec to be the appropriate duration constraints. -Whit
On Tue, Mar 9, 2010 at 3:35 PM, Heiko Mayer <Heiko-Mayer at gmx.de> wrote:
Dear all, I am looking for a smart way of portfolio optimization. Currently, I am using solve.QP from quadprog package which is quite useful for MV optimization. However, I would like to create a bond portfolio with duration constraints. It would be possible to use solve.QP as well, but instead of setting a target return and getting the optimal MV portfolio given the duration constraints, I would like to set a target risk, expected returns and the covariance matrix to maximize the portfolio return. So far, I was unlucky finding something the SIG archive and I am afraid solve.QP is not applicable for this task. Any ideas are highly appreciated. Thanks, Heiko -- http://portal.gmx.net/de/go/dsl02 ? ? ? ?[[alternative HTML version deleted]]
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