[R] Help with Portfolio Optmization

MaheshT mahesh.msmf at gmail.com
Mon Jul 23 13:24:16 CEST 2012


I need some help with Portfolio Optimization problem. I am trying to find
the minimum variance portfolio subjected to constraints on weights like  

/x1< w1 <x2
x3< w2 <x4</i>

I need help with solving for the minimum variance portfolio as solve.QP
doesn't allow me to specify the lower boundaries.


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