I hope that someone can help me with the following question: I would like to solve the Markowitz optimization problem WITH short-sale constraints. Maybe a procedure to solve a quadratic optimization problem with convex constraints and positive variables is already implemented in R? Thank you very much, edg -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
I've been using the solve.QP function in the quadprog package to solve that problem. It's just a matter of setting up matrices with the proper constraints. Enrico De Giorgi wrote:> > I hope that someone can help me with the following question: > I would like to solve the Markowitz optimization problem WITH short-sale > constraints. > Maybe a procedure to solve a quadratic optimization problem with convex > constraints and positive variables is already implemented in R? > > Thank you very much, > > edg > > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- > r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
The quadprog package available from CRAN should do the trick. Andy __________________________________ Andy Jaworski Engineering Systems Technology Center 3M Center, 518-1-01 St. Paul, MN 55144-1000 ----- E-mail: apjaworski at mmm.com Tel: (651) 733-6092 Fax: (651) 736-3122 |---------+-----------------------------> | | "Enrico De Giorgi"| | | <degiorgi at math.eth| | | z.ch> | | | | | | 08/21/2002 02:05 | | | | |---------+-----------------------------> >-----------------------------------------------------------------------------------------------------------------------------| | | | To: "R-help" <r-help at stat.math.ethz.ch> | | cc: (bcc: Andrzej P. Jaworski/US-Corporate/3M/US) | | Subject: [R] Quadratic optimization problem | >-----------------------------------------------------------------------------------------------------------------------------| I hope that someone can help me with the following question: I would like to solve the Markowitz optimization problem WITH short-sale constraints. Maybe a procedure to solve a quadratic optimization problem with convex constraints and positive variables is already implemented in R? Thank you very much, edg -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-. -.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._. _._._ -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On Wed, Aug 21, 2002 at 09:05:03AM +0200, Enrico De Giorgi wrote:> I hope that someone can help me with the following question: > I would like to solve the Markowitz optimization problem WITH short-sale > constraints.Try library(tseries) help(portfolio.optim) Hth, Dirk -- Good judgement comes from experience; experience comes from bad judgement. -- Fred Brooks -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
> Date: Wed, 21 Aug 2002 09:05:03 +0200 > From: "Enrico De Giorgi" <degiorgi at math.ethz.ch> > Subject: [R] Quadratic optimization problem > > I hope that someone can help me with the following question: > I would like to solve the Markowitz optimization problem WITH short-sale > constraints. > Maybe a procedure to solve a quadratic optimization problem with convex > constraints and positive variables is already implemented in R? > > Thank you very much, > > edgHave a look at portfolio.optim() from tseries. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5633 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : http://trapletti.homelinux.com -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._