[R-SIG-Finance] Optimization Question
ghsohn at gmail.com
Tue Dec 30 17:57:47 CET 2008
Sorry, this is not an answer, but I would be interested in specifics
and what theory you use, i.e. what multivariate distribution and maybe
a reference as to calculation of MDD, VaR, ES, ... ?
On Tue, Dec 30, 2008 at 4:48 PM, <ian.mcdonald at malbecpartners.com> wrote:
> I am interested in doing a portfolio optimization, but I need to impose
> non-linear, functional constraints (i.e Max Drawdown, or VaR, etc). I've
> looked into several of the optimization routines (nlminb, constrOptim and
> optim with SANN/L-BFGS-B) but it appears that all of them are geared to
> linear constraints. Other than using a penalty function method, is anyone
> aware of any other approaches available in R?
> Ian McDonald
> Malbec Partners
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