[R] Non-linear optimisation

ehxpieterse eduard.pieterse at macquarie.com
Fri Feb 6 13:49:50 CET 2009

Hi Ravi,

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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