[R-SIG-Finance] fPortfolioSolver

Mercurio Danilo 1850 SPI Danilo.Mercurio at Sparinvest.com
Wed Mar 30 10:12:52 CEST 2011


I would like to test portfolio optimization by maximizing the return for given risk.
I have been trying with fPortfolio and solveRsocp.

However it seems that the required solver is not in the CRAN release of Rmetrics 
(a wonderful package anyway, praise the developpers !!!).

I have tried on R-Forge (see Below). But I even did not find the package.

Can anybody help me?

many thanks 


install.packages("fPortfolioSolver", repos="http://R-Forge.R-project.org")
In getDependencies(pkgs, dependencies, available, lib) :
  package 'fPortfolioSolver' is not available

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