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Finding an efficient portfolio with a given risk

3 messages · Yaakov Moser, Brian G. Peterson, Heiko Mayer

Original
Yaakov Moser
# 
Hi all,

I need to find a portfolio on the efficient frontier for a set (defined) 
risk level,
given that I have a returns and a variance-covariance matrix for a set 
of assets.
This is complicated by the fact that there may be constraints on the 
assets, eg no short selling,
and possibly others which may be more restrictive (eg asset one has to 
between 10% and 50%).

As far as I know, this functionality is not (yet?) supported by fPorfolio.
Are there any packages that do support it?
Any examples would be very helpful.

Thanks

Yaakov Moser
Brian G. Peterson
#
On 06/07/2010 06:48 AM, Yaakov Moser wrote:
> (eg asset one has to between 10% and 50%).
You are specifying 'box constraints', and these can be constructed in standard 
quadprog.

for fPortfolio, see Diethelm's Portfolio Optimization book, page 200 and 225.

you can also use PortfolioAnalytics, though that sounds like overkill for your 
problem.

Regards,

   - Brian
1 day later