Reverse optimization in R
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I’m trying to use the equilibrium_mean function of BLModel in R to solve for expected returns of my portfolio given their weights. I’m doing it got some unusual asset classes where the portfolio return is negative and it seems like the module doesn’t allow for negative equilibrium returns. I have weights, historical time series of the assets and a single value for the market return. Any suggestions on how else to do this reverse optimization?
optimization query-optimization mathematical-optimization r-portfolioanalytics
edited Nov 12 at 7:48
Armali
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asked Nov 12 at 1:32
Rquant
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I’m trying to use the equilibrium_mean function of BLModel in R to solve for expected returns of my portfolio given their weights. I’m doing it got some unusual asset classes where the portfolio return is negative and it seems like the module doesn’t allow for negative equilibrium returns. I have weights, historical time series of the assets and a single value for the market return. Any suggestions on how else to do this reverse optimization?
optimization query-optimization mathematical-optimization r-portfolioanalytics
edited Nov 12 at 7:48
Armali
6,93093698
asked Nov 12 at 1:32
Rquant
11
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I’m trying to use the equilibrium_mean function of BLModel in R to solve for expected returns of my portfolio given their weights. I’m doing it got some unusual asset classes where the portfolio return is negative and it seems like the module doesn’t allow for negative equilibrium returns. I have weights, historical time series of the assets and a single value for the market return. Any suggestions on how else to do this reverse optimization?
optimization query-optimization mathematical-optimization r-portfolioanalytics
edited Nov 12 at 7:48
Armali
6,93093698
asked Nov 12 at 1:32
Rquant
11
I’m trying to use the equilibrium_mean function of BLModel in R to solve for expected returns of my portfolio given their weights. I’m doing it got some unusual asset classes where the portfolio return is negative and it seems like the module doesn’t allow for negative equilibrium returns. I have weights, historical time series of the assets and a single value for the market return. Any suggestions on how else to do this reverse optimization?
optimization query-optimization mathematical-optimization r-portfolioanalytics
optimization query-optimization mathematical-optimization r-portfolioanalytics
edited Nov 12 at 7:48
Armali
6,93093698
asked Nov 12 at 1:32
Rquant
11
edited Nov 12 at 7:48
Armali
6,93093698
asked Nov 12 at 1:32
Rquant
11
edited Nov 12 at 7:48
Armali
6,93093698
edited Nov 12 at 7:48
Armali
6,93093698
edited Nov 12 at 7:48
Armali
6,93093698
6,93093698
asked Nov 12 at 1:32
Rquant
11
asked Nov 12 at 1:32
Rquant
11
asked Nov 12 at 1:32
Rquant
11
11
add a comment |
add a comment |
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