And of course the BEST R integrated optimizer, ease of use, powerful, flexible ... alas commercial but even Pat has to eat! www.burns-stat.com Brendan |---------+---------------------------------------> | | "Pijus Virketis" | | | <pvirketis@hbk.com> | | | Sent by: | | | r-sig-finance-bounces@stat.m| | | ath.ethz.ch | | | | | | | | | 04/14/05 04:00 PM | | | | |---------+---------------------------------------> >--------------------------------------------------------------------------------------------------------| | | | To: <r-sig-finance@stat.math.ethz.ch> | | cc: | | Subject: RE: [R-sig-finance] portfolio optimization | >--------------------------------------------------------------------------------------------------------| Joe, Others have already pointed out the available QP tools. Let me add that you can always just write down utility as a function of portfolio weights and use optim() to solve the Markowitz problem (and more). Cheers, -P -----Original Message----- From: r-sig-finance-bounces@stat.math.ethz.ch [mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Joe Cerniglia Sent: Thursday, April 14, 2005 3:33 PM To: r-sig-finance@stat.math.ethz.ch Subject: [R-sig-finance] portfolio optimization Is there a portfolio optimization funtion available in Rmetrics? I looked in the fSeries package and no optimization functions are available? Where could I obtain some optimization function to perform a Markowitz optimiztion? Thanks, Joe _______________________________________________ R-sig-finance@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance _______________________________________________ R-sig-finance@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance ************************************************************************* This message and any attachments (the "message") are confide...{{dropped}}
portfolio optimization
1 message · brendan.mcmahon@sgcowen.com