[R-SIG-Finance] plain mean variance optimization

[Dirk Eddelbuettel]

On 23 June 2011 at 22:25, Yihao Lu aeolus_lu wrote:
| 
| Hi,I wonder if there is any good package to do portfolio allocation/optimization. I would like to start with some plain mean variance optimization, but I wish the package can do more, say with different type of constraints. It will also be great if the package can help estimate optimization parameters.

The tseries package has supported that for a decade already, and uses the
quadprog package as a solver.  About that long ago I had written a patch for
it which Adrian included which allowed for short as well as longs (following
the standard approach in Huang and Litzenberger).

Dirk

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