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? -- View this message in context: http://www.nabble.com/portfolio-optimization-problem---use-R-tp18570399p18570399.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
