Sai Tong tong at cabm.rutgers.edu
Mon Sep 19 20:31:00 CEST 2011

I have a question about what is the best function or package to use to
do the following in R:

minimize Q = g W g'  where respect to \gamma

where g is n x 1 vector, W is a n x n matrix and is given,
and g =  1 / T   * sum_from_i=1_to_1=60   [ (1-R[i+1] * ( E[i+1]/E[i ]
)^(\gamma)      ) ]
and T is a constant

would it be a feasible to first find the vector of g (a n x 1 vector)
that  minimize  Q using solver from quadprog  and then solve for \gamma
using the vector elements found?

-Sai