solver-family {fPortfolio}

LP, QP, and NLP Programming Solvers

Description

Rmetrics solver interface.

Usage

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)

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.