fPortfolio development ideas

[Daniele Amberti]

During the first r-metrics meeting in Meielisalp was mentioned that fPortfolio library's target should be on small portfolios (because of optimization problems). I found some very interesting functions in this proprietary library (link to the user manual below) since constraints over number of assets and rebalancing options are most common problems in portfolio management.

Please let me know what you think.
Best regards
Daniele Amberti

http://www.burns-stat.com/pages/Product/pop_use_man.pdf