Dear R-SIGs, I would like to optimize a long/short portfolio and apply the constraint: sum(abs(weights)) = 1. How can I do this with parma package ?
In the moment I'm using QP solver. Is the solution for my question dependent on the used solver ? Alexios wrote on Jul. 14:
As to the budget constraint, the SOCP solver now allows to include a sum(abs(weights)) constraint for long-short optimization (when using a covariance matrix) without having to do any special tricks (as for instance discussed here: https://stat.ethz.ch/pipermail/r-sig-finance/2013q4/011972.html). This is documented in Section 4.4 of the vignette.
Sorry I don't find "Section 4.4 of the vignette". Is there a good example or documentation available ? Thanks in advance, Uwe _______________________________________________ R-SIG-Finance@r-project.org 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.
