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...39;Sharpe') # See the differences between different solvers rho Results[1,1:3] <- round(donlp2(fn = sharpe, par = rep(1/N,N), par.lower = rep(0,N), par.upper = rep(1,N), A = t(rep(1,N)), lin.lower = 1, lin.upper = 1)$par, 2) Results[2,1:3] <- round(solnp(pars = rep(1/N,N), fun = sharpe, eqfun = constr, eqB = 1, LB = rep(0,N), UB = rep(1,N))$pars, 2) Results[3,1:3] <- round(solnp2(par = rep(1/N,N), fun = sharpe, eqfun = constr, eqB = 1, LB = rep(0,N), UB = rep(1,N))$pars, 2) for(i in 1:3) { Results[i,4] <- abs(sharpe(Results[i,1:3])) } Results # In fact the "sharpe"...

...tor(p_b)) } #the lower limit for inequalities ineqLB=rep(0.00001,BR) #the upper limit for the inequalities ineqUB=rep(1.00001,BR) # the lower and upper bounds for the variables LB=rep(0,CELL) UB=rep(1,CELL) #the seed for variables cells0=rep(.3,9) #solving the problem sol=solnp(cells0,fun=obj,eqfun=equal1,eqB=eqB,ineqfun =inequal1,ineqLB=ineqLB,ineqUB=ineqUB,LB=LB,UB=UB,control=list(outer.iter=400)) cells=sol$pars cells equal1(cells)

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