archives (via rseek.org). If not, you may want to consider asking

your question on the R-SIG-Finance list.

>

> Hi Alex,

>

> I cannot say how to implement such constraints with fPortfolio, but in

> general you can use heuristics to solve such problems. An example for

> selecting a number of assets from a larger universe is given in a vignette

> of the NMOF package (of which I am the author) and in the code examples on

>

http://nmof.net (even though they do not exactly cover your problem).

>

> Regards,

> Enrico

>

>

> Am 15.02.2012 20:18, schrieb Alexander Erbse:

>>

>> Dear All,

>>

>>

>>

>> I am using package fPortfolio to run minimum variance portfolio

>> optimizations in R. I already know how to set portfolioSpecs, portfolio

>> objects and constraints. Unfortunately I am not able to set the following

>> type of constraints.

>>

>> I have a timeSeries object with returns data for roughly 1.5k assets for

>> 261

>> subperiods (workingdays) and want to compute the global minimum variance

>> portfolio, considering following constraints:

>>

>>

>>

>> - Leverage = 1 (fully invested)

>>

>>

>>

>> - the lower / upper weights constraints (can be done by box

>> constraints) for individual assets are e.g. +0,01 / +0,04

>>

>>

>>

>> - and the problematic part: the minimum weights level for each

>> asset is +0,01 OR zero (in order to control outcome portfolio size)

>>

>>

>>

>> � Initially, considering that the minimum weight constraint is +0,01 for

>> each of the 1.500 assets and the sum of weights constraint (leverage)

>> equals

>> 1 would raise an infeasible problem for the optimizer. Given my additional

>> restriction that the minimum weight for any asset to get into the

>> portfolio

>> should be at least 0,01 would solve the target conflict in between minimum

>> asset weights and the leverage of 1. The iteration path of the optimizer

>> should consider something like this:

>>

>>

>>

>> ifelse(min(weight,0,01)<0,01,0,weight)

>>

>>

>>

>> �during the optimization. (iteratively)

>>

>>

>>

>> Is there any way to implement that sort of that constraint besides the

>> upper

>> / lower weight constraints (box constraints) in order to control for

>> decent

>> portfolio sizes?

>>

>>

>>

>> Thx& Regards,

>>

>> Alex

>>

>>

>> [[alternative HTML version deleted]]

>>

>>

>>

>>

>> ______________________________________________

>>

[hidden email] mailing list

>>

https://stat.ethz.ch/mailman/listinfo/r-help>> PLEASE do read the posting guide

>>

http://www.R-project.org/posting-guide.html>> and provide commented, minimal, self-contained, reproducible code.

>

>

> --

> Enrico Schumann

> Lucerne, Switzerland

>

http://nmof.net/>

> ______________________________________________

>

[hidden email] mailing list

>

https://stat.ethz.ch/mailman/listinfo/r-help> PLEASE do read the posting guide

http://www.R-project.org/posting-guide.html> and provide commented, minimal, self-contained, reproducible code.