Re: [R] Help with constrained portfolio optimization

2016-07-09 Thread Enrico Schumann
On Fri, 08 Jul 2016, Paulino Levara writes: > Dear R community, > > I am a beginner in portfolio optimization and I would appreciate your help > with the next problem:given a set of 10 variables (X), I would like to > obtain the efficient portfolio that minimize the

[R] Help with constrained portfolio optimization

2016-07-08 Thread Paulino Levara
Dear R community, I am a beginner in portfolio optimization and I would appreciate your help with the next problem:given a set of 10 variables (X), I would like to obtain the efficient portfolio that minimize the variance taking the expected return as mean(X), subject to the next constraints: a)