Hello, I would like to solve a portfolio optimization problem in R. As far as I searched, I found the example of "solve.QP" &"portfolio.optim". In my understanding, both of them are based on given expected return, finding the minimum variance. Is there a way of doing this in an opposite way?i.e maximize the expected return subject to fixed variance? Or even better, like combining these two together?
I would be grateful if anyone give me some advice or share the codes? -- View this message in context: http://www.nabble.com/Portfolio-Optimization-tf4488519.html#a12800372 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.
