[R-SIG-Finance] portfolio optimization questions
markleeds at verizon.net
Wed Jun 18 05:40:22 CEST 2008
Hi: If you want to be market ( I should really say capitalization ) neutral
then the portfolio weights should sum to zero. If you have a fixed target
allocation in dollars that you need to spend and you only are going long,
( rsther than wanting to be market neutral ) then your portfolio weights
should sum to 1.
I have that book you referred to but not in front of me so I don't
understand your second question .
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Alexander
Sent: Tuesday, June 17, 2008 8:58 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] portfolio optimization questions
I have a general finance question, rather than an R-specific question. In
trading currencies, should the weights always add up to 1, or 0, or can they
add up to anything? What determines this? Also, I have an Splus nuopt
question. If anyone knows a better place to post this, it would be
appreciated, but in the meantime I'll ask it here. In NuOPT, when I set
mu.target for solveQP to be very low (used as in page 9 of introduction to
modern portfolio optimization with NuOPT, S-PLUS, and S+Bayes), I see poor
portfolio returns, but if I set it to be high, I get an error message
<<SIMPLE 193>> Error in solve():
<<NUOPT 2>> infeasible(linear constraints and variable bounds)
Any help would be much appreciated.
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