search for: optimsolut

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adding overall constraint in optim()
2018 May 03
4
adding overall constraint in optim()
...- as.vector(tail(head(moWeightsMax,i),1)) cov.mat <- cov(tail(head(morets,i+12),12)) opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) %*% (cov.mat %*% wgt.vect)) LowerBounds<-c(0.2,0.05,0.1,0,0,0) UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) OptimSolution<-optim(wgt.vect, fn=opt.fun, method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) Any thoughts are appreciated! Mike Michael Ashton, CFA Managing Principal Enduring Investments LLC W: 973.457.4602 C: 551.655.8006 [[alternative HTML version deleted]]
adding overall constraint in optim()
2018 May 03
0
adding overall constraint in optim()
...x,i),1)) > cov.mat <- cov(tail(head(morets,i+12),12)) > opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) %*% (cov.mat %*% wgt.vect)) > > LowerBounds<-c(0.2,0.05,0.1,0,0,0) > UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) > > OptimSolution<-optim(wgt.vect, fn=opt.fun, method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) > > > Any thoughts are appreciated! > > Mike > > Michael Ashton, CFA > Managing Principal > > Enduring Investments LLC > W: 973.457.4602 > C: 551.655.8006 > &gt...
adding overall constraint in optim()
2018 May 03
2
adding overall constraint in optim()
....mat <- cov(tail(head(morets,i+12),12)) >> opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) %*% (cov.mat %*% wgt.vect)) >> >> LowerBounds<-c(0.2,0.05,0.1,0,0,0) >> UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) >> >> OptimSolution<-optim(wgt.vect, fn=opt.fun, method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) >> >> >> Any thoughts are appreciated! >> >> Mike >> >> Michael Ashton, CFA >> Managing Principal >> >> Enduring Investments LLC >&...
adding overall constraint in optim()
2018 May 04
0
adding overall constraint in optim()
...ad(morets,i+12),12)) >>> opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / (t(wgt.vect) %*% (cov.mat %*% wgt.vect)) >>> >>> LowerBounds<-c(0.2,0.05,0.1,0,0,0) >>> UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) >>> >>> OptimSolution<-optim(wgt.vect, fn=opt.fun, method="L-BFGS-B",lower=LowerBounds,upper=UpperBounds) >>> >>> >>> Any thoughts are appreciated! >>> >>> Mike >>> >>> Michael Ashton, CFA >>> Managing Principal >>> >>...
adding overall constraint in optim()
2018 May 06
1
adding overall constraint in optim()
...gt; opt.fun <- function(wgt.vect) -sum(Mo.vect %*% wgt.vect) / > (t(wgt.vect) %*% (cov.mat %*% wgt.vect)) > >>> > >>> LowerBounds<-c(0.2,0.05,0.1,0,0,0) > >>> UpperBounds<-c(0.6,0.3,0.6,0.15,0.1,0.2) > >>> > >>> OptimSolution<-optim(wgt.vect, fn=opt.fun, method="L-BFGS-B",lower= > LowerBounds,upper=UpperBounds) > >>> > >>> > >>> Any thoughts are appreciated! > >>> > >>> Mike > >>> > >>> Michael Ashton, CFA > >&gt...