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

[A.N.]

I checked some papers on CVaR optimization from Professor Uryasev, and i was
wondering if his simple method of implementation was in the solver used in
fPortfolio. 
I'm using the version (270.73) of this package. 



Diethelm Wuertz wrote:
> 
> 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?
> 
> regards
> Diethelm
> 
> 
> 
> -- 
> 
> PD Dr. Diethelm Wuertz
> Institute for Theoretical Physics
> Swiss Federal Institute of Technology
> 
> www.itp.phys.ethz.ch
> www.rmetrics.org
> 
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> Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
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