[R-SIG-Finance] single-period markowitz portfolio optimization

[Brian G. Peterson]

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.

Regards,

   - Brian

-- 
773-459-4973 mobile
http://braverock.com/brian/resume-quant.pdf