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

[alexios]

Ilya, Bernhard's cccp package should be the definitive socp package in R 
now.
cran.r-project.org/package=cccp

-Alexios

On 08/07/2015 18:37, Ilya Kipnis wrote:
> I was reading the following paper from Adam Butler:
>
> http://www.bpgassociates.com/docs/Adaptive-Asset-Allocation-A-Primer.pdf
>
> 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
> s.t.
> 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
> s.t.
> 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.
>
> -Ilya
>
> 	[[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.
>
>