[R] Help with Portfolio Optmization
R. Michael Weylandt
michael.weylandt at gmail.com
Mon Jul 23 19:59:26 CEST 2012
On Mon, Jul 23, 2012 at 6:24 AM, MaheshT <mahesh.msmf at gmail.com> wrote:
> I need some help with Portfolio Optimization problem. I am trying to find
> the minimum variance portfolio subjected to constraints on weights like
> /x1< w1 <x2
> x3< w2 <x4</i>
> I need help with solving for the minimum variance portfolio as solve.QP
> doesn't allow me to specify the lower boundaries.
Well, no: you have to be a little smarter about it though: try to walk
through the example in ?solve.QP again.
The trick is to split the conditions and then note that
a < x < b -->
a < x & x < b -->
-x < -a & x < b -->
both of which are now of the form constant*x < bound so you can wrap
them up in a single matrix.
c(-1, 1) * x < c(-a, b)
Incidentally, this has already been solved for you here (inter alia):
For this sort of problem, you might also get better help on the
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