[R-SIG-Finance] quadprogXT package

Robert Harlow rharlow86 at gmail.com
Sun Jun 4 19:19:19 CEST 2017


All,
  I put out a package on CRAN last weekend that extends quadprog so that
constraints involving absolute values (e.g. book size and turnover in a
financial context) are handled in addition to allowing absolute value (L1)
considerations in the objective function, which can handle linear
transaction costs or when the expected return for being long is different
than that of being short due to borrowing costs.  Since problems are
ultimately solved by the Fortran code of quadprog, convergence happens
quite quickly for up to hundreds of assets.

I view this as a "beta" release and feedback is very welcome.  I already
need to improve documentation and plan to in the next release.

Bob


https://cran.r-project.org/web/packages/quadprogXT/index.html

https://github.com/rharlow86/quadprogXT

	[[alternative HTML version deleted]]



More information about the R-SIG-Finance mailing list