[R-SIG-Finance] Portfolio Optimization

[Whit Armstrong]

You can do this w/ solve.QP.

use something like this:

solve.QP(lambda*2*vcv,fcst,Amat,bvec)

and set up Amat and bvec to be the appropriate duration constraints.

-Whit


On Tue, Mar 9, 2010 at 3:35 PM, Heiko Mayer <Heiko-Mayer at gmx.de> wrote:
> Dear all,
>
> I am looking for a smart way of portfolio optimization. Currently, I am
> using solve.QP from quadprog package which is quite useful for MV
> optimization. However, I would like to create a bond portfolio with
> duration constraints. It would be possible to use solve.QP as well, but
> instead of setting a target return and getting the optimal MV portfolio
> given the duration constraints, I would like to set a target risk, expected
> returns and the covariance matrix to maximize the portfolio return.
> So far, I was unlucky finding something the SIG archive and I am afraid
> solve.QP is not applicable for this task.
> Any ideas are highly appreciated.
>
> Thanks,
> Heiko
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