Dear R community,
I am a beginner in portfolio optimization and I would appreciate your help
with the next problem:given a set of 10 variables (X), I would like to
obtain the efficient portfolio that minimize the variance taking the
expected return as mean(X), subject to the next constraints:
a) Limit the sum of the weights of the first five variables to 30%
b) Limit the sum of the weights of the last five variables to 70%
What is your suggestion? Can I do this with the portfolio.optim function of
the tseries package?
How Can I do that?
Thanks in advance.
Regards.
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