[R-SIG-Finance] [R-sig-finance] fPortfolio min CVaR

Diethelm Wuertz wuertz at itp.phys.ethz.ch
Fri May 16 09:19:40 CEST 2008

A.N. wrote:
> I am testing the fPortfolio package by comparing in the optimization type
> between mean variance and CVaR minimization and I don't find where the CVaR
> works in the solver code. 
> By the way how the constraints in VaR and CVaR in the specifications are
> computed in the optimization problem ? 
What answer do you expect ?

Alexandra I think a little bit more information should be given to us
so that we can help you ...

Which version do you use?
What is your sample code which reproduces your results?



PD Dr. Diethelm Wuertz
Institute for Theoretical Physics
Swiss Federal Institute of Technology


Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
June 29th - July 3rd Meielisalp, Lake Thune, Switzerland

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