Hi,

I am new to RMetrice and considering of using RMetrice to optimize equity portfolios at the production level. so here are some questions:

1. Can fPortfolio handle a large universe? I have 2 universes: one is about 4000 names and the other 10,000. I can assume the covariance matrix is pre-calculated. so it really matters is: a. space (on a PC with 4GB memory). b. speed. (finish with reasonable time window, say around 10 minutes for a long-short strategy with some common constraints on 2GHz machine?)
2. Can RMatrice optimize portfolio based on the factor model? does it allow on factor exposure constraint? (I can assume the factor score matrix is given)

Thanks very much

Andy



      
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