Skip to content
Prev 8122 / 15274 Next

plain mean variance optimization

Dirk Eddelbuettel
On 23 June 2011 at 22:25, Yihao Lu aeolus_lu wrote:
| 
| Hi,I wonder if there is any good package to do portfolio allocation/optimization. I would like to start with some plain mean variance optimization, but I wish the package can do more, say with different type of constraints. It will also be great if the package can help estimate optimization parameters.

The tseries package has supported that for a decade already, and uses the
quadprog package as a solver.  About that long ago I had written a patch for
it which Adrian included which allowed for short as well as longs (following
the standard approach in Huang and Litzenberger).

Dirk

Thread (6 messages)

Qian Liu Is there a function to calculate internal rate of return in R? Jun 23 Yihao Lu aeolus_lu Is there a function to calculate internal rate of return in R? Jun 23 Yihao Lu aeolus_lu Is there a function to calculate internal rate of return in R? Jun 23 Yihao Lu aeolus_lu plain mean variance optimization Jun 23 matthias.kornexl at raiffeisenbank.at plain mean variance optimization Jun 23 Dirk Eddelbuettel plain mean variance optimization Jun 24