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6

This is interesting because I see another trend: Matlab is being replaced by R, but I guess this is another story... :-) I use R for my academic (I am also teaching this stuff) as well as my consulting work (I am mainly working in the $\mathbb{P}$ area, with some excursions into $\mathbb{Q}$). I tried Python but it didn't work for me. I think the main ...


4

I've used both R and Python with Pandas in a professional quantitative financial work to do both large scale and small scale projects. I would strongly recommend Python with Pandas over R for most new projects in the field especially in time series analysis. While I don't dispute vonjd in that you will find more libraries in R with algorithms on the ...


3

If you can add linear constriants (as you can do in quadprog) then you can formulate $w \mu = c_1$ as linear constraint, no matter what $\mu$ is (and first delete it from the objective by setting the parameter to zero. The only problem is the one norm. Let my clarify, this is: $$ \sum_{i=1}^n |w_i| < c_2 $$ Thus you allow for short sales but you want to ...



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