[R-SIG-Finance] What's the best package for SOCP in R?

Ilya Kipnis Ikipnis at grahamcapital.com
Wed Jul 8 19:37:13 CEST 2015

I was reading the following paper from Adam Butler:


I saw the example on page 26, namely one with an 8% annualized volatility target.

I was wondering if there's a go-to package among the R/Finance community to solve problems of the type:

max w'r
w'Sw = target
0 <= w_i <= 1 for all i
Sum(i=1...n)w_i = 1

I know that quadprog solves problems of the form of
min -w'r + lambda*w'Sw
0 <= w_i <= 1 for all i
Sum(i=1...n)w_i = 1

I was wondering if there was a go-to package for SOCP so that I could solve the first type of problem without needing to call a global optimizer.

Thanks a lot.


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