[R] short-sale constraint with nonpositive-definite matrix in portfolio optimization

Esra Ulasan esra_ulasan at icloud.com
Sat Dec 20 04:21:15 CET 2014


I want to ask about portfolio optimization in R. I have a nonpositive-definite matrix. I have handled with the singularity. Unfortunately, quadprog etc. optimization packages fail to solve the optimization problem under the constraints. Because these packages takes the covariance matrix as an input. But I have inverted matrix and I want to use it as an input under the non-negativity constraint (short sale prohibited). It is hard to solve with lagrange because of non-negativity constraint. Which method should I use? If you help me, I would be very happy..

Thank you.

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