quadprogXT package

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quadprogXT package

  I put out a package on CRAN last weekend that extends quadprog so that
constraints involving absolute values (e.g. book size and turnover in a
financial context) are handled in addition to allowing absolute value (L1)
considerations in the objective function, which can handle linear
transaction costs or when the expected return for being long is different
than that of being short due to borrowing costs.  Since problems are
ultimately solved by the Fortran code of quadprog, convergence happens
quite quickly for up to hundreds of assets.

I view this as a "beta" release and feedback is very welcome.  I already
need to improve documentation and plan to in the next release.




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