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From: Ridong on 19 Apr 2010 05:26
I have encountered a portfolio optimization problem and I am seeking for some help here:

Problem:
Select an optimal portfolio from two asset class A & B under the mean-variance framework.

Constrains:

Total Weight=100%

Min total weight from asset A: 40%
Max total weight from asset A: 70%
Min total weight from asset B: 30%
Max total weight from asset B: 60%

If an asset is selected, its weighting should not be less than 5%.

Min number assets from A: 5
Max number assets from A: 10
Min number assets from B: 5
Max number assets from B: 10



the portcons function would only allow me to define weight boundaries but not the number of assets from each class. If I have to use the optimizer, how should I define I need at least 5 assets from A? ( sum(wt~=0)>=5?)

I know this might be a simple problem and any information will be highly appreciated.

Thanks.
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