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Dear all, It's possible to obtain the residuals with AR time series function. Thanks in advance, Massimiliano Talarico Pianificazione Commerciale - Area Crm Unicredit Xelion Banca S.p.A. Via Pirelli 32 - 20124 Milano Tel.: 02 67360 525 Fax: 02 67738 525 www.xelion.it [[alternative HTML version deleted]]

Hi, I would like to minimize the value of x1-x2, x2 is a fixed value of 0.01, x1 is the quantile of normal distribution (0.0032,x) with probability of 0.7, and the changing value should be x. Initial value for x is 0.0207. I am using the following codes, but it does not work. fr <- function(x) { x1<-qnorm(0.7,0.0032,x) x2=0.01 x1-x2 } xsd <- optim(0.0207, fr,

Dear all, I need a suggest to obtain the max of this function: Max x1*0.021986+x2*0.000964+x3*0.02913 with these conditions: x1+x2+x3=1; sqrt((x1*0.114434)^2+(x2*0.043966)^2+(x3*0.100031)^2)=0.04; x1>=0; x1<=1; x2>=0; x2<=1; x3>=0; x3<=1; Any suggests ? Thanks in advanced, Massimiliano Questo messaggio di posta elettronica contiene informazioni di carattere

Dear All, I would like to know if it is possible to obtain the optimal asset allocation with the fPortfolio library (or others), but setting at the beginning a desired level of Target Risk. For example I can obtain the optimal asset allocation with fPortfolio library or portfolio.optim() function (in tseries library) setting a desired Target Return, but I dont't know any library or