[R-SIG-Finance] [R] portfolio optimization problem - use R
Christian Prinoth
Christian.Prinoth at epsilonsgr.it
Tue Jul 22 09:48:58 CEST 2008
This problem can be solved with quadprog. You just have to introduce a few auxiliary variables. Have a look at this paper:
http://www.stanford.edu/~boyd/papers/portfolio.html
Cheers
Christian
-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of markleeds at verizon.net
Sent: Monday, July 21, 2008 19:22
To: fzp2008; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] [R] portfolio optimization problem - use R
Hi: Patrick Burns POP software solves the problem below. I don't think quadprog does because of the transaction cost term but you can check out quadprog to confirm. I'm ccing sig-finance because someone over there may say/know more ?
On Mon, Jul 21, 2008 at 10:56 AM, fzp2008 wrote:
> How to use R to solve the optimisaton problem
>
> Minimize:
> ½*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
> ½*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position
>
> W: is the update weight of portfolio
> Wo is the initial weight of portfolio
>
> Omega is the variance covariance matrix mu is the vector of return
> rate of stocks in the portfolio
>
> C is the vector coefficient of transaction cost Is it a quandratic
> programming problem? Then how to write the objective function? Or any
> other method to solve this?
>
> --
> View this message in context:
> http://www.nabble.com/portfolio-optimization-problem---use-R-tp1857039
> 9p18570399.html Sent from the R help mailing list archive at
> Nabble.com.
>
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