solveRshortExact {fPortfolio} | R Documentation |
Exat unlimit Short Selling Solver
Description
Optimizes an unlimited short selling portfolio
analytically.
Usage
solveRshortExact(data, spec, constraints)
Arguments
data |
a time series or a named list, containing either a series of returns
or named entries 'mu' and 'Sigma' being mean and covariance matrix.
|
spec |
an S4 object of class fPFOLIOSPEC as returned by the function
portfolioSpec .
|
constraints |
a character string vector, containing the constraints of the form
"minW[asset]=percentage" for box constraints resp.
"maxsumW[assets]=percentage for sector constraints.
|
Examples
## data -
# Load Data:
Data = as.timeSeries(data(smallcap.ts))
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
Data
## solveRshortExact -
# ...
[Package
fPortfolio version 280.74
Index]