PortfolioSolver          package:fPortfolio          R Documentation

_P_o_r_t_f_o_l_i_o _S_o_l_v_e_r

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of solver and utility  functions for
     portfolio optimization. 

     The functions are:

       'solveRQuadprog'  Calls Goldfarb and Idnani's QP solver,
       'solveRDonlp2'    Calls Spelucci's donlp2 solver,
       'setSolver'       Sets the desired solver,
       'setSolver<-'     Sets the desired solver.

_U_s_a_g_e:

     solveRQuadprog(data, spec, constraints)
     solveRDonlp2(data, spec, constraints)
     solveRlpSolve(data, spec, constraints)

_A_r_g_u_m_e_n_t_s:

    data: [portfolioStatistics] - 
           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', containing slots call,
          model, portfolio, title, description, see 'PortfolioSpec' for
          a full slot description. 

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_u_t_h_o_r(_s):

     Diethelm Wuertz and Oliver Greshake for the Rmetrics port.

_S_e_e _A_l_s_o:

     'PortfolioData', 'PortfolioSpec', 'PortfolioConstraints',
     'fPORTFOLIO'.

_E_x_a_m_p_l_e_s:

     ## Solver RQuadprog:
        # Load Data:
        Data = as.timeSeries(data(smallcap.ts))
        Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
        Data
        
     ## Solve RDonlp2:
        # ...
        
     ## Solve RlpSolve:
        # ...

