Dear all, I’m working on a paper that analyze the performance of alternatives investment in a liability driven framework (LDI). Basically adding alternatives investimentos to a pension fund portfolio.
My portfolio return is the return on assets minus liabilities. My question is: Does any know if there is an package that would allow me to add liabilities to a portfolio? Or do I need to restric the weight balance to the asset and ass in the liabilities with a negative sign? I’m not sure how to include liabilites in the optmization. Any help will be much appreciated, Márcio R. Bernardo _______________________________________________ [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.
