[R-SIG-Finance] Solver for a generic optimal portfolio

Alec Schmidt aschmid1 at stevens.edu
Sun Mar 13 02:30:36 CET 2016


I'd like to estimate weights of an optimal portfolio other than min variance portfolio by replacing covariance matrix with something else. Is there an R package that can do this (my understanding is that solve.QP is not helpful for this task).


Thanks! Alec

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