[R-SIG-Finance] Question quadprogXT

[Robert Harlow]

Hi Antoine,
  Yes - it handles turnover constraints. Check out the second to last
example from ?solveQPXT.
Bob

On Tue, Mar 6, 2018 at 9:03 AM, Antoine <antoinegg7 at yahoo.fr> wrote:

> Hello Bob,
>
> First of all, thanks for your R Package quadprogXT, I hope that I will use
> it for my turnover constraint (in financial context). Could you please tell
> me if you use this topic to implement the solution.
>
>
> Convex Optimization problem with sum of absolute value constraints
> <https://scicomp.stackexchange.com/questions/20321/convex-optimization-problem-with-sum-of-absolute-value-constraints>
>
> Convex Optimization problem with sum of absolute value constraints
>
> How to solve the optimization problem written below? $$\begin{align}
> &\operatorname{argmax}\limits_{a}\; a^T b ...
>
> <https://scicomp.stackexchange.com/questions/20321/convex-optimization-problem-with-sum-of-absolute-value-constraints>
>
> Thanks in advance,
>
> Best Regards,
>
> Antoine
>
>

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