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fmin
2011 Apr 14
1
how to code a restriction matrix with the following restrictions
...nstraints. In the package
help, it is told that I have to create the restriction matrix ui.
Can someone help me to code the matrix?
In short I run the regression:Return=alpha + beta*benchmark(i) + u
My goal is to find the constrained alpha with the following two restrictions: alpha + (beta -1)Rfmin* <=0
alpha + (beta -1)Rfmax* <=0
*To facilitate the code I will find the value of Rfmin and Rfmax separately so I will have a vector (Rfmin, Rfmax)' directly available.
Anyone know how I...