[R-SIG-Finance] Alexxios Ghalanos Parma Package

[alexios ghalanos]

Hi Steve,

The fractional method directly solves the optimal risk to reward problem 
using fractional programming without having to calculate the whole 
frontier and then 'discover' the optimal. For linear problems (LP) the 
theory goes back to Charnes & Cooper (1962), whilst for nonlinear convex 
see Dinkelbach (1967)...references are in the manual.

Hope that clarifies.

Regards,

Alexios


On 05/08/2013 17:09, Steve Greiner wrote:
> Hello,
> In using this package to run some portfolio optimizations, I cannot figure out what the difference is between the Frontier Optimal solution and the Fractional Optimal solution?  I know they're both minimizing (risk/reward) but cannot determine their explicit difference.  Can somebody clarify? Thank you
> Steve Greiner
>
>
>
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>