2016 9:00 PM
To: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Solver for a generic optimal portfolio
The diversification return is a side effect of rebalancing.
To 'optimize' for diversification return, you'll still need some other
objectives and constraints.
In any complex fe
rian G.
Peterson <br...@braverock.com>
Sent: Saturday, March 12, 2016 8:38 PM
To: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Solver for a generic optimal portfolio
On 03/12/2016 07:30 PM, Alec Schmidt wrote:
I'd like to estimate weights of an optimal portfolio other than min
varian
On 03/12/2016 07:30 PM, Alec Schmidt wrote:
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).
Alec,
solve.QP probably assumes the standard markowitz style mean-variance
framework where the objective function is quadratic. So, if you want some
other objective function, you'd have to describe it exactly in order for
others to figure out whether the objective function is still quadratic.
On
Alec,
I think you need to explain more fully
what you would like to do.
What objective do you want to optimize?
What constraints do you want?
Pat
On 13/03/2016 01:30, Alec Schmidt wrote:
I'd like to estimate weights of an optimal portfolio other than min variance
portfolio by replacing
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
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