[R] Quadratic optimization problem

[Adam Gehr]

I've been using the solve.QP function in the quadprog
package to solve that problem. It's just a matter of setting
up matrices with the proper constraints.


Enrico De Giorgi wrote:
> 
> I hope that someone can help me with the following question:
> I would like to solve the Markowitz optimization problem WITH short-sale
> constraints.
> Maybe a procedure to solve a quadratic optimization problem with convex
> constraints and positive variables is already implemented in R?
> 
> Thank you very much,
> 
> edg
> 
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