[R-SIG-Finance] SPS and QLPM portfolios

[spencerg]

      I haven't seen a reply to this, so I will offer a comment.  
Consider the following: 


library(RSiteSearch)
qlpm <- RSiteSearch.function('QLPM')
HTML(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. 
      Spencer    


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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