I think that problem has a complicated closed form solution but I'm not sure which text it is in. It might be in Ingersoll, Financial Decision Making. I'm sorry that I can't be less vague. It's also possible to derive it using a Langrange Multiplier. I did it once but that was a long time ago.
-----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Patrick C. Sent: Tuesday, July 03, 2007 3:53 PM To: [email protected] Subject: [R] Non-linear constraints under Markowitz I am hoping to do some portfolio optimization where I want to maximize my possible return subject to the constraint that my variance is below a certain value and no short positions. Is there a way I can use optim to do this ? thanks [[alternative HTML version deleted]] ______________________________________________ [email protected] 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. -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} ______________________________________________ [email protected] 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.
