This is the first time I post question here so if there is anything that does not follow the rule, please bear with me and let me know.
I am trying to solve this optimization question but I don't know yet how to do it in R.
What I try to do here is to find the way to optimally overweight/underweight a pair trade (i.e: stock-bond) compared to the benchmark.
x: vector of bet size/ tilt (%)
Score: vector of signal score (i.e -1,0,1,...)
Q: co-variance matrix of each pair trade.
I also intend to add constraints on values of x (nonnegative, etc).
Looking forward to learning from you and have a good day!