[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.
jamaj
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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