Hi โ
This is giving me a headache. Iโm trying to do a relatively simple optimization
โ actually trying to approximate the output from the Excel Solver function but
at roughly 1000x the speed. ๐
The optimization parameters look like this. The only trouble is that I want to
add a constraint that sum(wgt.vect)=1, and I canโt figure out how to do that in
optim.
Mo.vect <- as.vector(tail(head(mo,i),1))
wgt.vect <- as.vector(tail(head(moWeightsMax,i),1))
cov.mat <- cov(tail(head(morets,i+12),12))
opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect)
%*% (cov.mat %*% wgt.vect))
LowerBounds<-c(0.2,0.05,0.1,0,0,0)
UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2)
OptimSolution<-optim(wgt.vect, fn=opt.fun,
method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds)
Any thoughts are appreciated!
Mike
Michael Ashton, CFA
Managing Principal
Enduring Investments LLC
W: 973.457.4602
C: 551.655.8006
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