I am trying to find the optimal tangency portfolio for the efficient frontier (calculated using qp.solver in quadprog) but subject to different risk-free rates.

Demos for quadprog in R show that to find the optimal portfolio (i.e. maximum Sharpe ratio) the following code is used

eff.optimal.point = eff[eff$Sharpe==max(eff$Sharpe),]

However, the maximum Sharpe Ratio portfolio is not subject to a risk-free rate constraint. Can the risk-free rate constraint be included anywhere in the quadprog code?


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