[R] portfolio optimization problem - use R

José Augusto Jr. jamajbr at gmail.com
Mon Jul 21 19:02:36 CEST 2008

You could try the fPortfolio package.

Wish helps.


2008/7/21, fzp2008 <zhangpeng.feng03 at ic.ac.uk>:
> How to use R to solve the optimisaton problem
> Minimize:
> ½*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
> ½*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position
> W: is the update weight of portfolio
> Wo is the initial weight of portfolio
> Omega is the variance covariance matrix
> mu is the vector of return rate of stocks in the portfolio
> C is the vector coefficient of transaction cost
> Is it a quandratic programming problem? Then how to write the objective
> function? Or any other method to solve this?
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