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?
