[R-SIG-Finance] [R-sig-finance] Example codes fPortfolio Package ?
vlanschot at yahoo.com
Fri May 16 17:39:21 CEST 2008
My previous questions below have been answered/are now clear. Still, a new
one has occurred: how can I make sure that 2 or more assets get the same
weights in the optimization?
Again, thx for any insights.
R at N
R at Nabble wrote:
> I was wondering whether there are more code-examples available for the
> above package. In particular, I'm interested in applications whereby:
> 1) One can define per asset the minW, maxW constraints.
> (I tried ConstrLO = c("minW=10","minW=10","maxW=15"), but I guess
> my interpretation of "vector of character strings" as described in the
> manual for the input here is wrong).
> 2) In addition to 1, add sector constraints (i.e. does one simply add it,
> like ConstrLO = c("minW=10","minW=10","maxW=15",
> "minsumW[1:2]=50") ???)
> 3) One can add the benchmark portfolio within the analysis, in particular
> as a "dot" within the efficient frontier graph.
> 4) Assuming leverage, how to show a move along the cap.mkt line?
> Any help/suggestions much appreciated.
> R at N
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