[R-SIG-Finance] Portfolio construction with integer constraints

[Enrico Schumann]

On Thu, 14 Feb 2013, "Sigurdsson, Magnus" <MSigurdsson at tiff.org> writes:

> Dear R Finance enthusiasts
>
> I was wondering if anyone had experience with using R for portfolio
> construction with integer constraints, such as mean variance
> optimization, or equal risk contribution optimization, where you can
> only have integer number of shares/contracts in each underlying asset?
>
> The case I am referring to is, for example, a futures trading
> strategy, where you trade a few different futures markets. Due to the
> generally large nominal size of futures contract, your budget allows
> you only to trade 1 to 5 contracts of each different asset. The
> problem being creating an optimal portfolio with those constraints.

One way to solve such models is via heuristics like Genetic
Algorithms. There are a number of packages in R that implement such
methods, but typically you have to do some programming yourself. There
has been some discussion of such methods on this list in the past;
Patrick Burns has also had some blog posts about R implementations
(there you could get some pointers to R packages).


Best regards,
Enrico


-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net