[R-SIG-Finance] solve.QP

[Patrick Burns]

You can have a look at the POP package from
Burns Statistics, but it is commercial software.

Patrick Burns
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")

guillaume.nicoulaud at halbis.com wrote:

>Dear all,
>I use solve.QP for Markowitz-like portfolio optimization purposes and I am trying to set some basic constraints. So far I have achieved to pass the followings:
>
>- Sum of weights = desired target or band
>
>- Target beta = anything I want
>
>- Maximum individual weights (both long and short)
>
>- Minimum individual weights if below 1/n (n being the number of stocks in the investment universe)
>
>
>
>And now here is what I would like to do:
>
>- Setting a target number of non-zero weights (I want - say - 30 longs and shorts...)
>
>- Setting a target gross exposure e.g. sum(abs(wi)) == 2
>
>
>Does anybody has a piece of code I could adapt to do this? Is there any other function that I could use with same level of flexibility than solve.QP?
>
>
>
>Thanks for your help!
>
>G
>
>
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