Currently, I am looking deeper into the topic of second-order cone programming. Could you suggest packages that solve SOCP-problems in R? With your answer, please provide a short description of ...
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...