[R-SIG-Finance] Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)
matt at considine.net
Sat Dec 1 13:41:38 CET 2012
On 12/1/2012 6:00 AM, r-sig-finance-request at r-project.org wrote:
> Finding the Feasible Region of a Generic Mean-Variance
> Problem (Robert Harlow)
What you are looking for is in the rmetrics/fPortfolioAdvanced package.
Look for the function called "feasibleSet". A chart
similar to what you want would be generated by this
>data = 100*LPP2005.RET[, 1:6]
>set = feasibleSet(data)
 "data" "weights" "coords" "positions"
 "targetRisks" "hull"
The weights of the portfolios in the set would be found in set$weights
Two other functions in that package may also help ...
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