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

[Mark Leeds]

solve.QP probably assumes the standard markowitz style mean-variance
framework where the objective function is quadratic.  So, if you want some
other objective function, you'd have to describe it exactly in order for
others to figure out whether the objective function is still quadratic.



On Sat, Mar 12, 2016 at 8:30 PM, Alec Schmidt <aschmid1 at stevens.edu> 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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