[R-sig-finance] Portfolio Wgts Optimization
manojsw at gmail.com
Wed Sep 21 07:48:30 CEST 2005
Apologies for the blank email...I am quite new to optim function
in R. I am trying to do the following:
I am trying to optimize Portfolio wgts subjected to certain
constraints. The constraints are that individual weights can be either
0 or maximum 40% and that the sum of the weights should be 1.
While I know that I can use L-BFGS-B method and specify the
lower & upper bound, How can I specify the constraint that the sum of
the weights should add up to 1?
Thanks in advance for your help.
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