Hello,
I'm trying to build a simple example to maximize the return on a portfolio with
a risk target (12%) and long positions only (0 <= weights <=1).
I've read all the previous posts on fPortfolio and PortfolioAnalytics but I
cannot find anything simple.
Could you please help me? My code currently looks like this:
library(fPortfolio)
library(PortfolioAnalytics)
TargetRisk<-0.12 #my target risk = sd
## return data
Data <- SMALLCAP.RET
Data <- Data[, c("BKE", "GG", "GYMB", "KRON")]
Regards
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