[R] Combinatorial Optimisation

Phil Saunders saundersp at bluelizard.org.uk
Mon Oct 21 12:43:59 CEST 2002


I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero.

I don't think any of the standard R optimisation functions are ideally suited to this particular task, but perhaps there is a way to tailor them to this purpose, or does anyone know of any alternative R algorithms which would address this problem well?


r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch

More information about the R-help mailing list