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workingdat
2012 Feb 15
2
Control number of assets in resulting portfolio with optimizations using package fPortfolio
...ortfolio to run minimum variance portfolio
optimizations in R. I already know how to set portfolioSpecs, portfolio
objects and constraints. Unfortunately I am not able to set the following
type of constraints.
I have a timeSeries object with returns data for roughly 1.5k assets for 261
subperiods (workingdays) and want to compute the global minimum variance
portfolio, considering following constraints:
- Leverage = 1 (fully invested)
- the lower / upper weights constraints (can be done by box
constraints) for individual assets are e.g. +0,01 / +0,04
- and the prob...