[R-SIG-Finance] Static Portfolio Optimization

[Brian G. Peterson]

Jesse Velez wrote:
> Is there any function or example in R or Rmetrics of static portfolio
> optimization, where I have a vector of expected returns for N assets and a
> expected covariance matrix of said N assets all at a fixed time (say
> generated from a MFM risk and return model).
>
> fPortfolio, Portfolio, portfolio.optim appear to all require time series of
> returns to generate the expected return and historical covariance matrix for
> use in creating weights.
>
> Ideally, I hope to find an example that allows easily allows Long/Short
> weights to make the portfolio  market neutral (i.e. Summation of Weights
> =0).
>   
All the implementations of Markowitz style mean/variance optmization use 
quadprog in R.

Plenty of information on the list archives from before all these 
packages existed about using quadprog for optimization.

Regards,

  - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock