Hi all,

 

I'm stumped with a portfolio optimization issue.  I'm utilizing the
fPortfolio package (although I know this issue is more general) and I am
trying to perform a vanilla MV optimization using both a weighting
constraint (box constrained and sum to unity) and target return
specification (specifically using the "efficientPortfolio()" wrapper
function).  My puzzle is that sometimes the box constraints are violated and
I am curious as to either what else I need to consider (I suspect the issue
involves the target return spec) or how to force the constraints to be
honored.  

 

Sorry no data examples to provide, but I hope that the experience of the
collective can shed some light for a rookie.

 

Todd


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