[R-SIG-Finance] fPortfolio - Maximum Return Portfolio
ymoser at gmail.com
Wed May 27 07:54:10 CEST 2009
Can anyone suggest a simple way to find the maximum return portfolio on
an efficient frontier with fPortfolio?
Without constraints, this is simply the asset with the highest return.
However, with constraints, it needs to be solved.
The only option I have come up with so far is to use the
portfolioFrontier function (ideally with a large number of points), and
then take the end one.
However, this point varies depending on how many points were selected in
As far as I can tell, there is no built in functionality equivalent to
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