Tagged Questions

2
votes
0answers
165 views

Efficient Portfolio Optimization Through Simulation

Apologies in advance for the (possibly?) poor terminology as I'm a bit of a novice in the field. I was torn whether to ask this on stackoverflow or here, so hope its the right place. Anyway, my ...
1
vote
0answers
113 views

What does “covariance risk budget” mean in fPortfolio package?

I have been using the fPortfolio package and have found some inconsistency in the usage of terminology in the package. What does a "covariance risk budget" in the result returned by mean variance ...
5
votes
2answers
708 views

Is there an R optimization package that can handle integer constraints and non-linear objective functions?

I am looking for an optimization routine that can optimize a non-linear objective function with integer constraints. NuOPT for S-Plus, CPLEX, or Matlab include powerful optimization packages for these ...