max (r'*w - rho*w'*V*w) s.t. sum(w) == 1
where rho is a risk aversion parameter.
You can solve this as a quadratic programming problem using either 1) solve.QP from the quadprog package; 2) portfolio.optim in package tseries
see http://tolstoy.newcastle.edu.au/R/help/05/01/10505.html for details on how to use the two.
On Sunday 01 May 2005 19:21, Gottfried Gruber wrote:hi,
i want to execute the following opimization problem: max r*w s.t.: w*z=1 # sum of w is 1 r, w are [nx1] vectors, z is a [nx1] vector consisting of 1 so far so good, works fine with lp
the problem arises with the additional restriction w' * V * w where V is a [nxn] matrix how can i include this restriction since w arises twice?
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