Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

Hi Michael, thanks for your reply, I apologize for the not full clarity of my question. In the following, I try to report a full example. #Library *library(PerformanceAnalytics)* *library(PortfolioAnalytics)* #Returns data present in "PortfolioAnalytics" *data(indexes)* *indexes <- indexes[,1:4]

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

I attach what I think is a syntactically correct version of the email, which looks like it was pasted from HTML. We'll try to take a look. Regards, Brian On 10/12/2016 04:34 AM, Marco Mastrangeli wrote: Hi Michael, thanks for your reply, I apologize for the not full clarity of my question.

Re: [R-SIG-Finance] CVaR and Penalty Augmented objective function

Thanks Brian, I will avoid HTML format next time. Best regards, Marco On Wed, Oct 12, 2016 at 12:21 PM, Brian G. Peterson wrote: > I attach what I think is a syntactically correct version of the email, > which looks like it was pasted from HTML. > > We'll try to take a look. > > Regards, > > Br