Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio: nloptr needs resampling

1:08 AM > To: Alec Schmidt > Cc: R-SIG-Finance@r-project.org > Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance > portfolio > > On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > >> Hi Enrico, >> Many thanks for your i

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

: Alec Schmidt Cc: R-SIG-Finance@r-project.org Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > I'm puzzled that I cannot reproduce results for asset weights using > solve.

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

Cc: R-SIG-Finance@r-project.org > Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance > portfolio > > On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > >> Hi Enrico, >> Many thanks for your interest. I attach my script

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

On Fri, 18 Mar 2016, Alec Schmidt writes: > I'm puzzled that I cannot reproduce results for asset weights using > solve.pq and nloptr even in the case of just three assets. E.g. if I > use NLOPT_LD_SLSQP and start with initial weights of 1/3, I may obtain > (0.47, 0, 0.53)

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

nricoschumann.net> > Sent: Friday, March 18, 2016 10:25 AM > To: Alec Schmidt > Cc: R-SIG-Finance@r-project.org > Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance > portfolio > > On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> wri

[R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

I'm puzzled that I cannot reproduce results for asset weights using solve.pq and nloptr even in the case of just three assets. E.g. if I use NLOPT_LD_SLSQP and start with initial weights of 1/3, I may obtain (0.47, 0, 0.53) vs (0.52, 0, 0.47). If I start with (0.52, 0, 0.47), I do get

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

:08 AM To: Alec Schmidt Cc: R-SIG-Finance@r-project.org Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > Hi Enrico, > Many thanks for your interest. I attach my script and input file wi