Hi list folks,

 

I'm wondering if any of you are using any of the solvers in the
fPortfolioSolver by the RMetrics chaps?  I've been trying to install the
package via RCMD from the source on my Windows XP machine (running R 2.10.1)
and it gets hung up during the process.  I am really interested in using the
second-order cone programming optimizer wrapper they provide (working on
getting a max return optimized portfolio for given target risk).

 

I feel sure there are several ways to do things.  My apologies for burdening
the list with my rusty operations research skills.   Any help is certainly
appreciated, and let me know if more info is needed about my install issues.
If Dr. Wuertz or any of the RMetrics team can chime in, even better.  

 

Thnx,

 

res     


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