If your problem is too big for quadprog, you could try SOL (qpopt). It's not free.
http://www.sbsi-sol-optimize.com/ On Thu, Jun 6, 2013 at 5:51 AM, Enrico Schumann <[email protected]>wrote: > On Thu, 06 Jun 2013, Bastian Offermann <[email protected]> writes: > > > Hi all, > > I am working on a large scale portfolio optimization problem with up > > to 500 assets. My objective function is simple > > > > w*returns - 1/2 * 1/constant * w * Matrix * w > > > > subject to sum(w) == 1 and w is a vector of weights with 0 <= w[i] <= > > 1 for all i = 1, ..., n. > > > > I have tried quadprog, alabama and DEoptim. What are your experiences > > with those and possibly other options? > > Thanks in advance! > > > > You say you "have tried" these packages, so did you encounter any > specific problems? If yes, you should post some examples that > demonstrate these problems. > > quadprog sounds reasonable, but if your covariance matrix is not > full-rank, quadprog's solve.QP will not work. (Which is actually more > an empirical than a computational problem. For example, there might be > no unique solution.) Other methods, such as Differential Evolution, do > not have such a constraint. > > Regards, > Enrico > > -- > Enrico Schumann > Lucerne, Switzerland > http://enricoschumann.net > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
