[R-SIG-Finance] Urgent on the help
markleeds at verizon.net
Mon Sep 1 00:14:17 CEST 2008
A few months back, someone mentioned a paper on the internet that showed
how to modify the QP to handle transaction costs. I have the paper at work
but I don't remember the name of it and I haven't read it. If you check the
archives, I imagine the old thread must be there and the link also.
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of
Yunlei.Hu at barclayscapital.com
Sent: Tuesday, July 22, 2008 4:17 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Urgent on the help
I am using quadratic programming to solve the portfolio optimization in
cosidering transaction cost. Is there any R optimization package can do
Solve.QP require the positive definite matrix in Dmat, while in my case,
this matrix in the objective function is not positive definite.
> It is in a bit of emergency. I would be really appreciated if anybody
> can give me the reply ASAP.
> Many thanks
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