Jeff, See Bernd Scherer's book "Portfolio Construction and Risk Budgeting" http://books.global-investor.com/books/20526.htm?ginPtrCode=00000&identifier=ed046b089287e2d975ea91dd0fd89aa4. It seems that 6. Benchmark-Relative Optimization provides the answer. I have written a code for that but I do not have the code and the book with be right now. The optimization provides the overweights and underweights wrt a benchmark portfolio such that the weights sum to zero. Regards, Hannu Kahra Progetti Speciali Monte Paschi Asset Management SGR S.p.A. Via San Vittore, 37 IT-20123 Milano, Italia Tel.: +39 02 43828 754 Mobile: +39 333 876 1558 Fax: +39 02 43828 247 E-mail: hannu.kahra@mpsgr.it Web: www.mpsam.it -----Original Message----- From: r-sig-finance-bounces@stat.math.ethz.ch [mailto:r-sig-finance-bounces@stat.math.ethz.ch]On Behalf Of Jeff Enos Sent: Friday, May 27, 2005 6:16 PM To: r-sig-finance@stat.math.ethz.ch Subject: [R-sig-finance] Long-short balanced portfolio optimization R-sig-finance, I have a vector of expected returns and a covariance matrix and would like to perform mean-variance portfolio optimization with the constraint that the portfolio be long-short balanced, that is, sum(weights) == 0. It doesn't look like portfolio.optim in the tseries package supports this constraint -- has anyone already solved this problem somewhere I've missed? Thanks, Jeff
Jeff Enos Kane Capital Management jeff@kanecap.com _______________________________________________ R-sig-finance@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance