[R-sig-finance] Long-short balanced portfolio optimization

[Patrick Burns]

If you are willing to pay money for the software, POP can do that.

Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Jeff Enos wrote:

>R-sig-finance,
>
>I have a vector of expected returns and a covariance matrix and would
>like to perform mean-variance portfolio optimization with the
>constraint that the portfolio be long-short balanced, that is,
>sum(weights) == 0.
>
>It doesn't look like portfolio.optim in the tseries package supports
>this constraint -- has anyone already solved this problem somewhere
>I've missed?
>
>Thanks,
>
>Jeff
>
>
>  
>