Dear All, 

 

I've been playing around with the fPortfolio package and have been
trying to add tracking error constraints as well as weight constraints.
I've managed to add weight constraints and plot an efficient frontier.
I'm wondering if it is possible to specify a benchmark portfolio and put
an upper bound on tracking error.  I'd like to then plot mv/efficient
portfolios for a given tracking error and then allowing tracking error
to change.  The "Portfolio Optimization with R/Rmetrics" presentation
from the April 2009 seems to allude to the fact that placing tracking
error constraints on optimization is possible but I haven't been able to
figure out how this is done.  Any insights on this would greatly
appreciated.

 

Thanks!

 

Ben


___________________________________________
This message and any attached documents contain
information which may be confidential, subject to 
privilege or exempt from disclosure under applicable
law. These materials are solely for the use of the 
intended recipient. If you are not the intended 
recipient of this transmission, you are hereby 
notified that any distribution, disclosure, printing, 
copying, storage, modification or the taking of any
action in reliance upon this transmission is strictly
prohibited. Delivery of this message to any person
other than the intended recipient shall not
compromise or waive such confidentiality, privilege
or exemption from disclosure as to this 
communication. 

If you have received this communication in error, 
please notify the sender immediately and delete
this message from your system. 

	[[alternative HTML version deleted]]

