Dear all,

I am looking for a smart way of portfolio optimization. Currently, I am 
using solve.QP from quadprog package which is quite useful for MV 
optimization. However, I would like to create a bond portfolio with 
duration constraints. It would be possible to use solve.QP as well, but 
instead of setting a target return and getting the optimal MV portfolio 
given the duration constraints, I would like to set a target risk, expected 
returns and the covariance matrix to maximize the portfolio return.
So far, I was unlucky finding something the SIG archive and I am afraid 
solve.QP is not applicable for this task.
Any ideas are highly appreciated.

Thanks,
Heiko    
-- 

http://portal.gmx.net/de/go/dsl02

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