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
portfolio optimization
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