A few months back, someone mentioned a paper on the internet that showed how to modify the QP to handle transaction costs. I have the paper at work but I don't remember the name of it and I haven't read it. If you check the archives, I imagine the old thread must be there and the link also. -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Yunlei.Hu at barclayscapital.com Sent: Tuesday, July 22, 2008 4:17 AM To: r-sig-finance at stat.math.ethz.ch Subject: [R-SIG-Finance] Urgent on the help Dear all I am using quadratic programming to solve the portfolio optimization in cosidering transaction cost. Is there any R optimization package can do this? Solve.QP require the positive definite matrix in Dmat, while in my case, this matrix in the objective function is not positive definite.
It is in a bit of emergency. I would be really appreciated if anybody can give me the reply ASAP. Many thanks Yunlei
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