Hello Everyone: Does anyone have experience in constructing a mean-semivariance portfolio using the fPortfolio package? What I am really searching for is the ability to use my own arbitrary "mean", essentially constructing a downside risk portfolio (Sortino - http://sortino.com/htm/New%20Book.htm). Typically done using the lpm solver option. My attempts at constructing this portfolio with anything other than the true mean for each security ends in an error. If anyone has done something similar can you provide suggestions/examples? Thanks in advance.
Mean-Semivariance (downside risk) Portfolio Construction
1 message · Gabe Plaxico