Dear all, I am looking for a smart way of portfolio optimization. Currently, I am using solve.QP from quadprog package which is quite useful for MV optimization. However, I would like to create a bond portfolio with duration constraints. It would be possible to use solve.QP as well, but instead of setting a target return and getting the optimal MV portfolio given the duration constraints, I would like to set a target risk, expected returns and the covariance matrix to maximize the portfolio return. So far, I was unlucky finding something the SIG archive and I am afraid solve.QP is not applicable for this task. Any ideas are highly appreciated.
Thanks, Heiko -- http://portal.gmx.net/de/go/dsl02 [[alternative HTML version deleted]] _______________________________________________ [email protected] 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.
