solveRglpk.CVAR

solveRglpk.MAD

solveRampl.CVAR

solveRshortExact

solveRquadprog

solveRquadprog.CLA

solveRipop

solveRampl.MV

solveRsocp

solveRsolnp

Rmetrics solver interface.

models

solver-family

A collection of functions to optimize portfolios and to analyze them from different points of view.

Stefan Theussl

fPortfolio

Rmetrics - Portfolio Selection and Optimization

Diethelm Wuertz

Tobias Setz

Yohan Chalabi

William Chen

solver-family function

<dl>
 <dt>data</dt>
<dd>a time series or a named list, containing either a series of returns 
 or named entries 'mu' and 'Sigma' being mean and covariance matrix.</dd> <dt>spec</dt>
<dd>an S4 object of class <code>fPFOLIOSPEC</code> as returned by the function
 <code>portfolioSpec</code>.</dd> <dt>constraints</dt>
<dd>a character string vector, containing the constraints of the form 
 <code>"minW[asset]=percentage"</code> for box constraints resp. 
 <code>"maxsumW[assets]=percentage"</code> for sector constraints.</dd></dl>

Arguments

LP, QP, and NLP Programming Solvers — solver-family

<dl>


 <dt>data</dt>
<dd>a time series or a named list, containing either a series of returns 
 or named entries 'mu' and 'Sigma' being mean and covariance matrix.</dd>

 <dt>spec</dt>
<dd>an S4 object of class <code>fPFOLIOSPEC</code> as returned by the function
 <code>portfolioSpec</code>.</dd>

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

</dl>

LP, QP, and NLP Programming Solvers

solver-family: LP, QP, and NLP Programming Solvers

Description

Usage

Value

Arguments

References