[R-SIG-Finance] Finding an efficient portfolio with a given risk

[Brian G. Peterson]

On 06/07/2010 06:48 AM, Yaakov Moser wrote:
> Hi all,
>
> I need to find a portfolio on the efficient frontier for a set (defined)
> risk level, given that I have a returns and a variance-covariance matrix for a set
> of assets.
> This is complicated by the fact that there may be constraints on the
> assets, eg no short selling, and possibly others which may be more restrictive
 > (eg asset one has to between 10% and 50%).
>
> As far as I know, this functionality is not (yet?) supported by fPorfolio.
> Are there any packages that do support it?
> Any examples would be very helpful.

You are specifying 'box constraints', and these can be constructed in standard 
quadprog.

for fPortfolio, see Diethelm's Portfolio Optimization book, page 200 and 225.

you can also use PortfolioAnalytics, though that sounds like overkill for your 
problem.

Regards,

   - Brian

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