fPortfolio (version 260.72)

PortfolioSolver: Portfolio Solver

Description

A collection and description of solver and utility functions for portfolio optimization. The functions are:

ll{ solveRQuadprog Calls Goldfarb and Idnani's QP solver, solveRDonlp2 Calls Spelucci's donlp2 solver, setSolver Sets the desired solver, setSolver<- Sets the desired solver. }

Usage

solveRQuadprog(data, spec, constraints)
solveRDonlp2(data, spec, constraints)
solveRlpSolve(data, spec, constraints)

Arguments

data

[portfolioStatistics] - a time series or a named list, containing either a series of returns or named entries 'mu' and 'Sigma' being mean and covariance matrix.

spec

an S4 object of class fPFOLIOSPEC, containing slots call, model, portfolio, title, description, see PortfolioSpec for a full slot description.

constraints

a character string vector, containing the constraints of the form "minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage for sector constraints.

See Also

PortfolioData, PortfolioSpec, PortfolioConstraints, fPORTFOLIO.

Examples

## Solver RQuadprog:
   # Load Data:
   Data = as.timeSeries(data(smallcap.ts))
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data
   
## Solve RDonlp2:
   # ...
   
## Solve RlpSolve:
   # ...