[R-SIG-Finance] Tangency portfolio in "fPortfolio" package

Samit Paul samitpaulin at gmail.com
Tue Feb 16 05:32:56 CET 2016

Dear R users,

I am using "fPortfolio" package for portfolio construction by minimizing
CVaR. I want to remove the constraint "LongOnly" and allow the portfolio to
be constructed when short sale is allowed. Therefore, I have set solver as
"solveRshortExact" instead of "solveRquadprog" in portfolioSpec() and use
constraint "Short" instead of "LongOnly".

It's working fine for the function "efficientPortfolio". However, when I
try to use "tangencyPortfolio" function, it's assigning maximum weight of 1
to the constituent and does not allow for short position.

Can you provide a solution please? Thank you.


Samit Paul

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