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I am currently looking at rewriting a commercial "back-box" portfolio optimiser, data in -> results out. I want to move away and use my own R version of it, so far a have to implementations working for my equality constraints, "solve.QP" and "constrOptim".

My problem now is the more I move towards nonlinear constraints (especially turnover limitations and transaction costs) the less information I find, would be great if someone could recommend a package, best case already a finance package or a more general mathematical one. The few packages I read along the lines so far were, "nloptr","fportfolio" and sometimes "rmetrics".

Any examples would also be highly appreciated.

thanks

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Turnover constraints involve an absolute value. This can be linearized. So you can use your existing solver.

Linear transaction cost: same story. If your transaction cost have a fixed cost structure then things become more complicated. That may require an MIQP solver.

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Thanks Erwin, do you have any sources where I can read up on this or can look at any concrete examples ?
Some results from Google: Portfolio optimization with linear and fixed transaction costs and Portfolio Optimization with Transaction Costs. May be ask the experts at quant.stackexchange.com for better references. (I am not an expert in this field although I often help out when the optimization problems become more difficult to model or to solve).

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