[R-SIG-Finance] Urgent on the help

[kriskumar at earthlink.net]

Hi Yunlei,

There are many recipes to find the nearest non-singular matrix. Peter Jackel has a nice paper outlining three popular approaches to this. 

The R package corpcor has an implementation of Higham's approach.

>require(corpcor)
>posDefmat<-make.positive.definite(mat,tol)

Should do the trick now it  would be a good idea to compares this to Rebonato's method, which  is essentially setting the negative or close to zero eigen values to a small positive number (1e-5) and rescale to get the non-singular matrix back. This is a good practice  just to compare these things and see what magic dust(:-)). higham's procedure adds to the original matrix.

Hth

Best
Krishna
----
"When I get a little money, I buy books and if any 
      is left, I buy food and clothes."  -- Erasmus

-----Original Message-----
From: <Yunlei.Hu at barclayscapital.com>

Date: Tue, 22 Jul 2008 09:17:11 
To: <r-sig-finance at stat.math.ethz.ch>
Subject: [R-SIG-Finance] Urgent on the help



 Dear all

I am using quadratic programming to solve the portfolio optimization in
cosidering transaction cost. Is there any R optimization package can do
this? 

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
>  Yunlei 
> 
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