You could try the fPortfolio package. Wish helps.
jamaj 2008/7/21, fzp2008 <[EMAIL PROTECTED]>: > > How to use R to solve the optimisaton problem > > Minimize: > ½*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position > ½*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position > > W: is the update weight of portfolio > Wo is the initial weight of portfolio > > Omega is the variance covariance matrix > > mu is the vector of return rate of stocks in the portfolio > > C is the vector coefficient of transaction cost > > Is it a quandratic programming problem? Then how to write the objective > function? Or any other method to solve this? > > -- > View this message in context: > http://www.nabble.com/portfolio-optimization-problem---use-R-tp18570399p18570399.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.