[R] Combinatorial Optimisation

Phil Saunders saundersp at bluelizard.org.uk
Mon Oct 21 12:43:59 CEST 2002


Hi

I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero.

I don't think any of the standard R optimisation functions are ideally suited to this particular task, but perhaps there is a way to tailor them to this purpose, or does anyone know of any alternative R algorithms which would address this problem well?

Phil



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