[R-SIG-Finance] parma - How to add a constraint for the weights

[alexios ghalalanos]

The vignette, if you were unable to build it from the source, is
available here:

http://cran.r-project.org/web/packages/parma/vignettes/Portfolio_Optimization_in_parma.pdf

Section 4.4 is clearly marked with heading "SOCP".

As to the question on whether a specific problem can be solved by a
specific type of solver, the answer is yes. The QP solver will not allow
you to formulate and solve a problem using the 'leverage' constraint,
but the SOCP solver will.

-Alexios

On 10/08/2014 16:56, u0055 at wolke7.net wrote:
> Dear R-SIGs,
> 
> I would like to optimize a long/short portfolio and
> apply the constraint: sum(abs(weights)) = 1.
> How can I do this with parma package ?
> 
> In the moment I'm using QP solver.
> Is the solution for my question dependent on the used solver ?
> 
> Alexios wrote on Jul. 14:
>> As to the budget constraint, the SOCP solver now allows to include a
>> sum(abs(weights)) constraint for long-short optimization (when using a
>> covariance matrix) without having to do any special tricks (as for
>> instance discussed here:
>> https://stat.ethz.ch/pipermail/r-sig-finance/2013q4/011972.html).
>> This is documented in Section 4.4 of the vignette.
> 
> Sorry I don't find "Section 4.4 of the vignette".
> Is there a good example or documentation available ?
> 
> Thanks in advance,
> Uwe
> 
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