Hi Ravi, To give you some background:
The function compute_strategy_before_fees returns portfolio returns and standard deviation. Our optimal portfolio will maximise the returns whilst keeping the standard deviation at a certain level. We have an input matrix C that the function uses to calculate the asset weights in the portfolio over time. Problem is that I am a complete R novice and would not know where to start in optimising this in R. Could you please give some guidance on using the R functions? Thanks, Eduard -- View this message in context: http://www.nabble.com/Non-linear-optimisation-tp21856818p21871853.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.
