[R-sig-finance] R-sig-finance Digest, Vol 19, Issue 6

[Vivek Satsangi]

Hello Lorenzo,
I am assuming that you are already familiar with the offerings of the
book, "Modern Portfolio Optimization with NuOPT, S-PLUS and S+BAYES"
[Springer 2005] at

http://www.springer.com/sgw/cda/frontpage/0,,4-40109-22-34952077-0,00.htm

If not...
I have not read the whole book (it is above my current level, but I am
building up to it slowly). However, I understand that this book offers
various other optimizations. It also comes with a 150 day license for
the tools it uses, so even if your budget does not allow for SPLUS,
you can try the stuff they are doing in there. The only down side is
that they do not permit you to translate the packages into R.
(Although I suppose there is nothing to stop anyone from
reimplementing the algorithms in R, just not using their code -- I am
no legal/ethics expert).

Hope this helps. If you already knew all this, I am sorry to have
taken up your time.

Vivek
>
> ------------------------------
>
> Message: 2
> Date: Tue, 13 Dec 2005 15:41:38 +0000
> From: "L.Isella" <L.Isella at myrealbox.com>
> Subject: [R-sig-finance] Optimization of Non-Quadratic Functions
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <1134488498.c7e0aafcL.Isella at myrealbox.com>
> Content-Type: text/plain; charset="UTF-8"
>
> Dear All,
> I am trying to implement some portfolio optimization techinique going beyond mean/variance optimization (e.g. including higher order moments in the quantity to maximize or using non-quadratic utilities). Furthermore, I am also interested in applying nonlinear constrains to my portfolio weights.
> For all these tasks, I need something different from the solve.QP routine I have been using happily so far.
> Is there any specifically designed routine for this kind of problem or should I revert to some general-purpose optimization package?
> Any suggestion is welcome.
>
> Best Regards
>
> Lorenzo
>
>
>
> ------------------------------
>
> _______________________________________________
> R-sig-finance mailing list
> R-sig-finance at stat.math.ethz.ch
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>
> End of R-sig-finance Digest, Vol 19, Issue 6
> ********************************************
>


--
-- Vivek Satsangi
Student, Rochester, NY USA