[R] Non-linear constraints under Markowitz

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Tue Jul 3 22:16:01 CEST 2007

I think that problem has a complicated closed form solution but I'm not
sure which text it is in.
It might be in Ingersoll, Financial Decision Making. I'm sorry that I
can't be less vague. 
It's also possible to derive it using a Langrange Multiplier. I did it
once but that was a long time ago.

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Patrick C.
Sent: Tuesday, July 03, 2007 3:53 PM
To: r-help at stat.math.ethz.ch
Subject: [R] Non-linear constraints under Markowitz

I am hoping to do some portfolio optimization where I want to maximize
my possible return subject to the constraint that my variance is below a
certain value and no short positions. Is there a way I can use optim to
do this ? thanks

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