Alex, You may find an answer to your question by searching the R-SIG-Finance archives (via rseek.org). If not, you may want to consider asking your question on the R-SIG-Finance list.
Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com R/Finance 2012: Applied Finance with R www.RinFinance.com On Fri, Feb 17, 2012 at 12:53 AM, Enrico Schumann <enricoschum...@yahoo.de> wrote: > > Hi Alex, > > I cannot say how to implement such constraints with fPortfolio, but in > general you can use heuristics to solve such problems. An example for > selecting a number of assets from a larger universe is given in a vignette > of the NMOF package (of which I am the author) and in the code examples on > http://nmof.net (even though they do not exactly cover your problem). > > Regards, > Enrico > > > Am 15.02.2012 20:18, schrieb Alexander Erbse: >> >> Dear All, >> >> >> >> I am using package fPortfolio to run minimum variance portfolio >> optimizations in R. I already know how to set portfolioSpecs, portfolio >> objects and constraints. Unfortunately I am not able to set the following >> type of constraints. >> >> I have a timeSeries object with returns data for roughly 1.5k assets for >> 261 >> subperiods (workingdays) and want to compute the global minimum variance >> portfolio, considering following constraints: >> >> >> >> - Leverage = 1 (fully invested) >> >> >> >> - the lower / upper weights constraints (can be done by box >> constraints) for individual assets are e.g. +0,01 / +0,04 >> >> >> >> - and the problematic part: the minimum weights level for each >> asset is +0,01 OR zero (in order to control outcome portfolio size) >> >> >> >> � Initially, considering that the minimum weight constraint is +0,01 for >> each of the 1.500 assets and the sum of weights constraint (leverage) >> equals >> 1 would raise an infeasible problem for the optimizer. Given my additional >> restriction that the minimum weight for any asset to get into the >> portfolio >> should be at least 0,01 would solve the target conflict in between minimum >> asset weights and the leverage of 1. The iteration path of the optimizer >> should consider something like this: >> >> >> >> ifelse(min(weight,0,01)<0,01,0,weight) >> >> >> >> �during the optimization. (iteratively) >> >> >> >> Is there any way to implement that sort of that constraint besides the >> upper >> / lower weight constraints (box constraints) in order to control for >> decent >> portfolio sizes? >> >> >> >> Thx& Regards, >> >> Alex >> >> >> [[alternative HTML version deleted]] >> >> >> >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > > -- > Enrico Schumann > Lucerne, Switzerland > http://nmof.net/ > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.