Hi: Patrick Burns POP software solves the problem below. I don't think quadprog does because of the transaction cost term but you can check out quadprog to confirm. I'm ccing sig-finance because someone over there may say/know more ?
On Mon, Jul 21, 2008 at 10:56 AM, fzp2008 wrote:
How to use R to solve the optimisaton problem Minimize: ?*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position ?*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position W: is the update weight of portfolio Wo is the initial weight of portfolio Omega is the variance covariance matrix mu is the vector of return rate of stocks in the portfolio C is the vector coefficient of transaction cost Is it a quandratic programming problem? Then how to write the objective function? Or any other method to solve this? -- View this message in context: http://www.nabble.com/portfolio-optimization-problem---use-R-tp18570399p18570399.html Sent from the R help mailing list archive at Nabble.com.
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