| solveRshortExact {fPortfolio} | R Documentation |
Optimizes an unlimited short selling portfolio analytically.
solveRshortExact(data, spec, constraints)
data |
a time series or a named list, containing either a series of returns or named entries 'mu' and 'Sigma' being mean and covariance matrix. |
spec |
an S4 object of class fPFOLIOSPEC as returned by the function
portfolioSpec.
|
constraints |
a character string vector, containing the constraints of the form"minW[asset]=percentage" for box constraints resp. "maxsumW[assets]=percentage" for sector constraints.
|
a list with the following named ebtries:
solver,
optim,
weights,
targetReturn,
targetRisk,
objective,
status,
message.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## data -
Data = SMALLCAP.RET
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
Data
## spec -
Spec = portfolioSpec()
setSolver(Spec) = "solveRshortExact"
setTargetReturn(Spec) = mean(Data)
Spec
## constraints -
Constraints = "LongOnly"
## solveRshortExact -
solveRshortExact(Data, Spec, Constraints)