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The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.

1 vote

MPT: Adding constraint on minimum asset weight

A very basic implementation using the quadprog package in R would look something like the following: library(quadprog) library(MASS) # -------------------------------------------------------- # …
  • 316
8 votes
Accepted

Optimizing a portfolio of ETFs

Using solve.QP in R, a straightforward approach is to add a binary exposure vector as an inequality constraint to your Amat matrix for each group that you want to constrain. The only catch is that v …
  • 316
7 votes
0 answers
1k views

Is there a standard method of scaling alpha forecasts to t-cost estimates?

return model) and a non-linear market impact model (or more specifically, its piecewise-linear approximation), is there a generally accepted "standard" method of setting their objective weights in an optimization
  • 316