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optimisation
2008 Jul 21
1
portfolio optimization problem - use R
How to use R to solve the optimisaton problem
Minimize:
?*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
?*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 t...