solver-family {fPortfolio} | R Documentation |
Rmetrics solver interface.
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)
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 |
constraints |
a character string vector, containing the constraints of the form |
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.