[R] how to use solve.QP

[Spencer Graves]

      Also, ' methods("portfolio.optim")' revealed 2 functions for this 
generic: 

[1] portfolio.optim.default portfolio.optim.ts    

      Typing "portfolio.optim.ts" exposes the code for the second one.  
If the class of the first argument "x" is "ts", R dispatches 
"portfiolio.optim(x, ...)" to "portfolio.optim.ts(x, ...)".  Otherwise, 
it is dispatched to "portfolio.optim.default(x,...)". 

      hope this helps. 
      spencer graves

Achim Zeileis wrote:

>On Thu, 13 Jan 2005 14:07:29 -0500 roger bos wrote:
>
>  
>
>>Zeileis,
>>
>>Thanks, I didn't know about "portfolio.optim".  I wanted to see how it
>>works, but when I try showMethods, it doesn't show it to me.  Does
>>that mean I am not allowed to see the inner workings?
>>    
>>
>
>1. All of this is open source, so you are *always* allowed to look
>   at the sources. (If you haven't got a version of the source package,
>   then you can always get it from CRAN.)
>2. showMethods() is for S4 generics, portfolio.optim is an S3 generic.
>3. Simply typing portfolio.optim.default at the prompt should print the
>   function.
>Z
>
>  
>
>>Thanks,
>>
>>Roger
>>
>>    
>>
>>>showMethods("portfolio.optim")
>>>      
>>>
>>Function "portfolio.optim":
>><not a generic function>
>>    
>>
>>On Thu, 13 Jan 2005 19:58:33 +0100, Achim Zeileis
>><Achim.Zeileis at wu-wien.ac.at> wrote:
>>    
>>
>>>On Thu, 13 Jan 2005 13:44:58 -0500 roger bos wrote:
>>>
>>>      
>>>
>>>>At the risk of ridicule for my deficient linear algebra skills, I
>>>>ask for help using the solve.QP function to do portfolio
>>>>optimization.  I am trying to following a textbook example and
>>>>need help converting the problem into the format required by
>>>>solve.QP.  Below is my sample code if anyone is willing to go
>>>>through it.  This problem will not solve because it is not set up
>>>>properly.  I hope I included enough details for someone to deciper
>>>>it.  Or does anyone have a good example they can send me?
>>>>        
>>>>
>>>You can look at the man page, code and example of the function
>>>portfolio.optim() in package tseries which does portfolio
>>>optimization based on solve.QP from quadprog.
>>>
>>>hth,
>>>Z
>>>
>>>      
>>>
>>>>Thanks so much for any hints and suggestions, Roger.
>>>>
>>>>
>>>>
>>>>library(quadprog, lib.loc="C:\\Program Files\\R\\tools")
>>>>library(MASS, lib.loc="C:\\Program Files\\R\\tools")
>>>>n<-100
>>>>m<-200
>>>>rho<-0.7
>>>>sigma<-0.2
>>>>mu<-0.1
>>>>Cov <- matrix(rho*sigma*sigma, ncol=n, nrow=n)
>>>>diag(Cov) <- rep(sigma*sigma, n)
>>>>S <- 1+matrix(mvrnorm(m, rep(mu, n), Sigma=Cov), ncol=n)
>>>>
>>>>#The problem is formulated as minimize t(b) Cov b
>>>>#subject to cLo <= A <= cUp
>>>>#and bLo=0 <= w <= 1=bUp
>>>>
>>>>Cov <- var(S)
>>>>mu <- apply(S, 2, mean)
>>>>mu.target <- 0.1
>>>>#subject to cLo <= A <= cUp and bLo=0 <= b <= 1=bUp
>>>>A <- rbind(1,mu)
>>>>cLo <- c(1, mu.target)
>>>>cUp <- c(1, Inf)
>>>>bLo <- rep(0, n)
>>>>bUp <- rep(1, n)
>>>>
>>>>#I convert [cLo <= A <= cUp] to Amat >= bvec and [bLo=0 <= w
>>>>##<=1=bUp] to
>>>>Amat <- rbind(-1, 1, -mu, mu)
>>>>dim(bLo) <- c(n,1)
>>>>dim(bUp) <- c(n,1)
>>>>bvec <- rbind(-1, 1, mu.target, Inf, bLo, -bUp)
>>>>zMat <- matrix(rep(0,2*n*n),ncol=n, nrow=n*2)
>>>>zMat[,1] <- c(rep(1,n), rep(-1,n))
>>>>Amat <- t(rbind(Amat, zMat))
>>>>
>>>>#So I set Dmat=Cov and set dvec=0
>>>>Dmat=Cov
>>>>dvec=rep(0, nrow(Amat))
>>>>
>>>>#The first two rows of Amat should be equality constraints (so
>>>>#weights sum to 1)
>>>>meq <- 2
>>>>
>>>>sol <- solve.QP(Dmat=Dmat, dvec=dvec, Amat=Amat, bvec=bvec, meq)
>>>>sol
>>>>
>>>>______________________________________________
>>>>R-help at stat.math.ethz.ch mailing list
>>>>https://stat.ethz.ch/mailman/listinfo/r-help
>>>>PLEASE do read the posting guide!
>>>>http://www.R-project.org/posting-guide.html
>>>>
>>>>        
>>>>
>
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