[R-SIG-Finance] Is there a general solution (package) for a portfolio optimization ?

[Michael Weylandt]

> On Jul 14, 2014, at 6:38, u0055 at wolke7.net wrote:
> 
> Dear R-SIGs,
> 
> Is there anybody out there working with parma ?
> It's a great package.
> I can use parts of it,
> but don't understand everything.
> 
> Does anybody know the function of parameter "targetType"
> in method "parmaspec()" ?
> The documentation says,
> it's Whether the target should be a hard equality or inequality.
> What does that mean ?

It sounds like it defines the form of an optimizer constraint. E.g., if you weren't allowed to lever a portfolio, you could put \sum w_i either =1 or <=1, depending on whether you are willing to hold cash. The former would be a 'hard equality'; the latter an inequality constraint. 

This is just speculation based on the description you gave. Check the package docs and source to confirm. 

Michael


> Are there good resources about that theme in the internet ?
> 
> Thanks in advance,
> Uwe
> 
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