Message-ID: <1457832636634.41311@stevens.edu>
Date: 2016-03-13T01:30:36Z
From: Alec Schmidt
Subject: Solver for a generic optimal portfolio
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]]