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

Description Usage Arguments Value References

Description

Rmetrics solver interface.

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
solveRglpk.CVAR(data, spec, constraints)
solveRglpk.MAD(data, spec, constraints)
solveRampl.CVAR(data, spec, constraints)

solveRshortExact(data, spec, constraints)
solveRquadprog(data, spec, constraints)
solveRquadprog.CLA(data, spec, constraints)
solveRipop(data, spec, constraints)
solveRampl.MV(data, spec, constraints)

solveRsocp(data, spec, constraints)

solveRdonlp2(data, spec, constraints)
solveRsolnp(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.

Value

a list with the following named ebtries: solver, optim, weights, targetReturn, targetRisk, objective, status, message.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


fPortfolio documentation built on March 26, 2020, 9:17 p.m.