Hi, what optimizer I can use (preferably in R) to solve the following portfolio optimization problem: min(f T x)    st:   1.  -a <= SUM x(i) <= b 2. -c <= x(i) <= d 3.  e <= SUM |x(i)| <= f 4. SQRT (x T  COV x) <= g a,b,c,d,e,f,g - positive. f is a vector. x - weights. COV var-covar matrix estimated...

<t>Hi,For historical var, there are lots of literature. However, few things are still unclear to me. To simulate historical scenarios, one can have few choices to generate scenarios.a. relative returns (simple, log, et al)b. absolute changesc. mixture of aboveSome of problems with a,b methods are ou...

the one which is organized by Derman. here

you can also change your settings such that no one will be able to see connections which are not shared.