[R-SIG-Finance] SPS and QLPM portfolios
spencer.graves at prodsyse.com
Tue Jun 30 04:45:54 CEST 2009
I haven't seen a reply to this, so I will offer a comment.
Consider the following:
qlpm <- RSiteSearch.function('QLPM')
This identified the frontierPoints function in the fPortfolio
package. Beyond this, Wuertz, et al. (2009) Portfolio Optimization with
R/Rmetrics (www.rmetrics.org/ebook.htm) includes "QLMP" twice and
"frontierPoints" 55 times.
Hope this helps.
ssmith88 at umd.edu wrote:
> Does anyone have any sample code on how to implement an optimization with SPS or QLPM portfolios? Is there a way to specify all 5 parameters for the SPS risk measure? Thanks very much.
> Scott Smith
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