[R] Quadratic optimization problem

[apjaworski@mmm.com]

The quadprog package available from CRAN should do the trick.

Andy

__________________________________
Andy Jaworski
Engineering Systems Technology Center
3M Center, 518-1-01
St. Paul, MN 55144-1000
-----
E-mail: apjaworski at mmm.com
Tel:  (651) 733-6092
Fax:  (651) 736-3122


|---------+----------------------------->
|         |           "Enrico De Giorgi"|
|         |           <degiorgi at math.eth|
|         |           z.ch>             |
|         |                             |
|         |           08/21/2002 02:05  |
|         |                             |
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  |                                                                                                                             |
  |      To:       "R-help" <r-help at stat.math.ethz.ch>                                                                          |
  |      cc:       (bcc: Andrzej P. Jaworski/US-Corporate/3M/US)                                                                |
  |      Subject:  [R] Quadratic optimization problem                                                                           |
  >-----------------------------------------------------------------------------------------------------------------------------|





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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