[R-SIG-Finance] Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

Matt Considine 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)
[1] "data"          "weights"       "coords"        "positions" 
[6] "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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