On Mon, Jul 23, 2012 at 6:24 AM, MaheshT <mahesh.m...@gmail.com> wrote: > Hi, > > I need some help with Portfolio Optimization problem. I am trying to find > the minimum variance portfolio subjected to constraints on weights like > > /x1< w1 <x2 > x3< w2 <x4</i> > > I need help with solving for the minimum variance portfolio as solve.QP > doesn't allow me to specify the lower boundaries.
Well, no: you have to be a little smarter about it though: try to walk through the example in ?solve.QP again. The trick is to split the conditions and then note that a < x < b --> a < x & x < b --> -x < -a & x < b --> both of which are now of the form constant*x < bound so you can wrap them up in a single matrix. c(-1, 1) * x < c(-a, b) Incidentally, this has already been solved for you here (inter alia): https://systematicinvestor.wordpress.com/2011/12/13/backtesting-minimum-variance-portfolios/ For this sort of problem, you might also get better help on the R-SIG-Finance lists. Cheers, Michael > > Thanks > Mahesh > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/Help-with-Portfolio-Optmization-tp4637425.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. ______________________________________________ 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.
