[R-SIG-Finance] Static Portfolio Optimization

Brian G. Peterson brian at braverock.com
Mon Sep 28 17:13:08 CEST 2009

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.


  - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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