[R-SIG-Finance] single-period markowitz portfolio optimization
Brian G. Peterson
brian at braverock.com
Wed Mar 21 15:15:19 CET 2007
On Wednesday 21 March 2007 08:45, Unternährer Thomas wrote:
> I'm looking for a single-period markowitz porfolio omptimization
> algorithm (I have average returns and the covariance matrix). As far as
> I know the function MarkowitzPortfolio in the package fPortfolio needs
> a (time) series per asset.
> Is there allready a function I can use?
You should be able to use solve.QP directly. There are many posts in the
list archives for this list about using solve.QP to construct a
Markowitz-style optimized portfolio.
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