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

Patrick Burns patrick at burns-stat.com
Sun Mar 13 02:36:17 CET 2016


I think you need to explain more fully
what you would like to do.

What objective do you want to optimize?
What constraints do you want?


On 13/03/2016 01:30, Alec Schmidt wrote:
> 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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Patrick Burns
patrick at burns-stat.com
twitter: @burnsstat @portfolioprobe

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