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portfolio optimization problem - use R
fzp2008
·
Jul 21, 2008
·
r-help
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...
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