[R-SIG-Finance] Reverse Optimisation

Thomas Etheber etheber at gmx.de
Fri Sep 12 10:03:16 CEST 2008

Dear All,

i am trying to do a reverse portfolio optimisation with R to calculate the implied return vector of the corresponding assetclasses as recommended in Sharpe 1974. Of course the optimisation problem is in a way restricted in form of minimum and maximum assetclass weights.

I am looking for a way to formulate the lagrange function with the relevant restrictions in R. Do you know of some R functionality to handle this problem? 

Thx in advance for your help


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