[R] Non-linear optimisation
eduard.pieterse at macquarie.com
Fri Feb 6 13:49:50 CET 2009
To give you some background:
The function compute_strategy_before_fees returns portfolio returns and
standard deviation. Our optimal portfolio will maximise the returns whilst
keeping the standard deviation at a certain level.
We have an input matrix C that the function uses to calculate the asset
weights in the portfolio over time. Problem is that I am a complete R novice
and would not know where to start in optimising this in R.
Could you please give some guidance on using the R functions?
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