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

[reini]

In principle, you are right. I was just wondering whether this functionality
is directly provided by fportfolio.


Adam Gehr wrote:
> 
> 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
>> -- 
>> View this message in context:
>> http://www.nabble.com/Direct-Specification-of-Mu-and-Sigma-in-fportfolio-tp16392702p16392702.html
>> Sent from the Rmetrics mailing list archive at Nabble.com.
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
> 
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. 
> -- If you want to post, subscribe first.
> 
> 

-- 
View this message in context: http://www.nabble.com/Direct-Specification-of-Mu-and-Sigma-in-fportfolio-tp16392702p16393833.html
Sent from the Rmetrics mailing list archive at Nabble.com.