.ZI_projection

clin

Amat

bmat

xhat

maxiter

<p>which fulfills the condition \(|B(x - xhat)|^2 \to \min\)</p>

internal

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

Andrzej Palczewski

PortfolioOptim

Small/Large Sample Portfolio Optimization

Aleksandra Dabrowska

.ZI_projection function

Computes 
the solution of the linear program
\(\min c^{T} x\)
 for \(Ax = b\), \(x \ge 0\) — .ZI_projection

Computes 
the solution of the linear program
\(\min c^{T} x\)
 for \(Ax = b\), \(x \ge 0\)

.ZI_projection: Computes the solution of the linear program \(\min c^{T} x\) for \(Ax = b\), \(x \ge 0\)

Description

Usage

Arguments

Value