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2004 Dec 10
1
Porting optimisation setup from Excel Solver to R
Hi all,
I am currently optimising a small portfolio I have
created as a part of my research project in Excel. I
am unable to find the appropriate package to port this
into R. My problem set up is as follows
Minimise ABS(Sum(Xi-Xi')+10*Sum(XiMi)/Mavg)
Subject to:
0 <= Xi <= 0.05
ABS(Sum(Xi)) = 0.2
where
Mi - Market Cap of Stock i
Xi - Initial weight of Stock i
Xi' - New weight of Stock i
Mavg = Average weighted market cap of portfolio.
My portfolio has a long as well as a short side,
therefore the ABS. The minimisation functi...
2015 Jan 22
1
"error: number of redirect actions exceeds policy limit"
...irect :copy" that doesn't changed something ?)
[0] <http://dovecot.org/pipermail/dovecot/2012-August/085038.html>
? Is this problem known? ? Is there a solution for that problem?
Thanks a lot and best regards! ? Kai
--
Kai Sommer
sig: 5E2E FA58 43BD 5599 4068 | pubkey: http://ma.ximi.se/mekey
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