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)
G'day Thomas,
On Mon, 3 Sep 2007 10:08:08 +0200
[EMAIL PROTECTED] wrote:
What's wrong with my code?
Require(quadprog)
library(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
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
