[R-SIG-Finance] fPortfolio - Maximum Return Portfolio
wuertz at itp.phys.ethz.ch
Wed May 27 09:05:42 CEST 2009
Yaakov Moser wrote:
There may be a faster solution (compared to my previous email), just
look for the portfolio with the highest risk, i.e. the lowest negative
risk. That can be easily implemented
by reversion of the sign of the objective risk function in the portfolio
> 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 the Spec...
> As far as I can tell, there is no built in functionality equivalent to
> the minriskPortfolio.
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