On Thu, 14 Feb 2013, "Sigurdsson, Magnus" <msigurds...@tiff.org> writes:
> Dear R Finance enthusiasts > > I was wondering if anyone had experience with using R for portfolio > construction with integer constraints, such as mean variance > optimization, or equal risk contribution optimization, where you can > only have integer number of shares/contracts in each underlying asset? > > The case I am referring to is, for example, a futures trading > strategy, where you trade a few different futures markets. Due to the > generally large nominal size of futures contract, your budget allows > you only to trade 1 to 5 contracts of each different asset. The > problem being creating an optimal portfolio with those constraints. One way to solve such models is via heuristics like Genetic Algorithms. There are a number of packages in R that implement such methods, but typically you have to do some programming yourself. There has been some discussion of such methods on this list in the past; Patrick Burns has also had some blog posts about R implementations (there you could get some pointers to R packages). Best regards, Enrico -- Enrico Schumann Lucerne, Switzerland http://enricoschumann.net _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.