solveRglpk {fPortfolio} | R Documentation |
Optimizes a portfolio using the linear programming solver Rglpk.
solveRglpk(data, spec, constraints)
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.
|
a list with the following named ebtries:
solver
,
optim
,
weights
,
targetReturn
,
targetRisk
,
objective
,
status
,
message
.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## data - Data = SMALLCAP.RET Data = Data[, c("BKE", "GG", "GYMB", "KRON")] Data ## spec - Spec = portfolioSpec() setType(Spec) = "CVaR" setSolver(Spec) = "solveRglpk" setTargetReturn(Spec) = mean(Data) Spec ## constraints - Constraints = "LongOnly" ## solveRglpk - solveRglpk(Data, Spec, Constraints)