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You might take a look at the PortfolioAnalytics package. It's optimize.portfolio function does require asset returns but the momentFUN argument allows you to provide your own function for using these returns to calculate the moments used in the optimization. Overall it provides a great deal of flexibility for specifying constraints and optimization methods. ...


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I am not a particularly big fan of fPortfolio. My first thought was to estimate a mean and covariance matrix accounting for the missing data (should be discussed several times on this site or other places) and pass that. However, looking at the manual, it looks like the relevant functions only take time series data. Based on that limitation, you have a few ...



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