[R-SIG-Finance] parma - How to add a constraint to the SOCP solver

[alexios ghalanos]

In the inst folder of the source distribution there is subfolder called
'parma.tests' with a single R file containing numerous examples (see
parma.test11 for the SOCP type problems).
For the specific problem asked, just set "leverage=1" in paramspec (and
"budget=NULL"). Also take care to provide a 'feasible' set of upper (UB)
and lower (LB) weight bounds.

-Alexios

On 12/08/2014 05:24, 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.
> I'm using the parma package and it's SOCP solver.
> I have heard via attached mail,
> that it's possible to add my above constraint
> to the SOCP solver by "the 'leverage' constraint".
> 
> Does anybody know the syntax for that,
> or is there any R snippet available ?
> 
> Thanks in advance,
> Uwe
> 
> 
>> 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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