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

Alec Schmidt aschmid1 at stevens.edu
Sun Mar 13 02:47:39 CET 2016

Thanks for answering my curiosity on Saturday night. I just come across the Willenbrock's paper http://arxiv.org/abs/1109.1256
and wonder if it makes sense to optimize so-called diversification return (eq 13) and, if yes, what tool you might suggest.
Best, Alec

From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Saturday, March 12, 2016 8:38 PM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Solver for a generic optimal portfolio

On 03/12/2016 07:30 PM, 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).


You'll need to be a little more specific about what your target
objectives and constraints are if someone is going to be able to help you.

For some objectives and constraints, quadratic, linear, or conical
solvers can be used.  For other objective and constraint combinations,
you'll need a global stochastic solver.

Without understanding precisely what you're trying to do, no one can
give you an answer about which package(s) will be best for your problem.

I can say that I think of any portfolio formulation I can come up with
may be solved with R.



Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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