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

[roger bos]

Jeff,

I should add the caveat that I have not actually tried this out and I
hope Patrick or someone else will let us know if my solution does not
work.

Thanks,

Roger


On 5/27/05, Patrick Burns <patrick at burns-stat.com> wrote:
> 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
> >
> >
> >
> >
> 
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