[R] portfolio optimization problem - use R

How to use R to solve the optimisaton problem Minimize: ½*w^T*omega*w+mu^T*w+c^T(w-w0) for ww0 long position ½*w^T*omega*w+mu^T*w-c^T(w-w0) for ww0 short position W: is the update weight of portfolio Wo is the initial weight of portfolio Omega is the variance covariance matrix mu is the

Re: [R] portfolio optimization problem - use R

You could try the fPortfolio package. Wish helps. jamaj 2008/7/21, fzp2008 [EMAIL PROTECTED]: How to use R to solve the optimisaton problem Minimize: ½*w^T*omega*w+mu^T*w+c^T(w-w0) for ww0 long position ½*w^T*omega*w+mu^T*w-c^T(w-w0) for ww0 short position W: is the update weight of