fPortfolio (version 280.74)

solveRquadprog: Quadratic Programming Solver

Description

Optimizes a portfolio with a the quadratic programming solver quadprog.

Usage

solveRquadprog(data, spec, constraints)

Arguments

data

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 as returned by the function portfolioSpec.

constraints

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

Examples

## data - 
   # Load Data:
   Data = as.timeSeries(data(smallcap.ts))
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data
   
## solveRquadprog -
   # ...