[R-SIG-Finance] [R-sig-finance] fPortfolio target risk optimization?

[patzoul]

In that case what is the maxreturnPortfolio function for?


Enrique Bengoechea wrote:
> 
> Hi,
>  
> Does anybody know whether is it possible to optimize with fPortfolio (I'm
> using v260.72 under R 2.7.2) defining the target risk? I know it is
> possible to set the target return and obtain the minimum variance
> portfolio, but is it possible to solve the dual problem of setting the
> target (volatility) risk and getting the point on the efficient frontier
> that maximizes the return given that risk?
>  
> The only way I've found is an indirect one: compute the whole efficient
> frontier, then select the point with the risk closest to the target. But
> this seems inefficient and depends on the actual search grid used... 
>  
> Hints appreciated. Session info copied below.
>  
> Best,
>  
> Enrique
>  
>  
>> sessionInfo()
> R version 2.7.2 (2008-08-25) 
> i386-pc-mingw32 
>  
> locale:
> LC_COLLATE=Spanish_Spain.1252;LC_CTYPE=Spanish_Spain.1252;LC_MONETARY=Spanish_Spain.1252;LC_NUMERIC=C;LC_TIME=Spanish_Spain.1252
>  
> attached base packages:
> [1] datasets  grDevices graphics  stats     utils     methods   base     
>  
> other attached packages:
>  [1] PaRiS_1.0-1        Defaults_1.1-1     zoo_1.5-4         
> fPortfolio_260.72  fAssets_260.72     fRegression_260.72 fMultivar_260.72  
>  [8] sn_0.4-4           mnormt_1.2-1       fTrading_260.72   
> polspline_1.0.15   nnet_7.2-44        mgcv_1.4-1         fBasics_260.72    
> [15] fImport_260.72     lpSolve_5.6.3      quadprog_1.4-11   
> fSeries_260.73     fCalendar_270.75   fEcofin_270.73     fUtilities_270.73 
> [22] MASS_7.2-44        robustbase_0.2-8   R2HTML_1.59       
> RDCOMClient_0.92-0 chron_2.3-24       RODBC_1.2-3        rcom_1.5-2.2  
>  
> 
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> 
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