I'd like to estimate weights of an optimal portfolio other than min variance portfolio by replacing covariance matrix with something else. Is there an R package that can do this (my understanding is that solve.QP is not helpful for this task).
Thanks! Alec [[alternative HTML version deleted]] _______________________________________________ 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.