Hi Thomas, On my computer the solution is (0,0,1,0,0,0,0) (within machine accuracy) and it satisfies the constraints.
--- [EMAIL PROTECTED] wrote: > Hi everybody, > > I'm using Windows XP Prof, R 2.5.1 and a Pentium 4 > Processor. > Now, I want to solve a quadratic optimization > program (Portfolio Selection) with the quadprog > package > > I want to minimize (\omega'%*%\Sigma%*%\omega) > Subject to > (1) \iota' %*% \omega = 1 (full investment) > (2) R'%*%\omega = \mu (predefined expectation > value) > (3) \omega \ge 0 (no short sales). > > Where > \omega is a Nx1 vector of the weights invested in > each asset > \Sigma is the NxN variance-covariance matrix > \iota is a 1xN vector of 1's > R' is a Nx1 vector of the expected returns > and > \mu is a number, the postualted return of the > investor > > I've done the following code but it doesn't make > what I want it to do. The weights aren't all > positive and the \mu isn't reached. What's wrong > with my code? > > Require(quadprog) > Dmat<-diag(1,7,7) > # muss als quadratische Matrix eingegeben werden > Dmat > dvec<-matrix(0,7,1) # muss als Spaltenvektor > eingegeben werden > dvec > mu<-0 # (in Mio. â¬) > bvec<-c(1,mu,matrix(0,7,1)) # muss als Spaltenvektor > eingegeben werden > bvec > mu_r<-c(19.7,33.0,0.0,49.7, 82.5, 39.0,11.8) > Amat<-matrix(c(matrix(1,1,7),7*mu_r,diag(1,7,7)),9,7,byrow=T) > > # muss als Matrix angegeben werden, wie sie wirklich > ist > Amat > meq<-2 > loesung<-solve.QP(Dmat,dvec,Amat=t(Amat),bvec=bvec,meq=2) > loesung > > # Ãberprüfen, ob System richtig gelöst wurde > loesung$solution %*% mu_r > sum(loesung$solution) > for (i in 1:7){ > a<-loesung$solution[i]>=0 > print(a) > } > > Thanks in advance for your answers. > > ______________________________ > > Thomas Schwander > > MVV Energie > Konzern-Risikocontrolling > > Telefon 0621 - 290-3115 > Telefax 0621 - 290-3664 > > E-Mail: [EMAIL PROTECTED] . Internet: > www.mvv.de > MVV Energie AG . Luisenring 49 . 68159 Mannheim > Handelsregister-Nr. HRB 1780, Amtsgericht Mannheim > Vorsitzender des Aufsichtsrates: Herr Dr. Peter Kurz > Vorstand: Dr. Rudolf Schulten (Vorsitzender) . > Matthias Brückmann . Dr. Werner Dub . Hans-Jürgen > Farrenkopf > > > > > [[alternative HTML version deleted]] > > > ______________________________________________ > R-help@stat.math.ethz.ch 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@stat.math.ethz.ch 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.