[R-SIG-Finance] [R-sig-finance] Direct Specification of Mu and Sigma in fportfolio

[Adam Gehr]

If I understand what you want to do correctly, the way I've solved similar 
problems in the past is just to use one of the quadratic programming 
routines. solve.QP, etc.

Adam Gehr


On Sun, 30 Mar 2008, reini wrote:

>
> Dear all,
> I was wondering whether someone can help me to solve a problem that I posted
> some weeks ago:
>
> In using fportfolio I would like to directly specify a mu and sigma rather
> than to hand over a multivariate time series from which mu and sigma are
> estimated by the relevant functions. How does this work? From the
> documentation it seemed possible to me, however, when I investigated the
> relevant code it is asking for a time series.
>
> Many thanks,
> Reinhold
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