[R-SIG-Finance] portfolio.optim

[Enrico Schumann]

Hi <anonymous>,

just build a covariance matrix with your correlation and pass it to 
'portfolio.optim'. For instance, for 4 assets:

## marginal vols
vols <- c(0.2, 0.3, 0.4, 0.5)

## correlation matrix
C <- array(0.42, dim = c(length(vols), length(vols))); diag(C) <- 1

## covariance matrix
Sigma <- diag(vols) %*% C %*% diag(vols)

## ...or more efficiently
Sigma <- outer(vols, vols) * C


Regards,
Enrico


Am 24.09.2011 22:47, schrieb sixstringaddict:
> I am using the portfolio.optim function to find the portfolio weights and
> risk using three covariance estimates.
>
> I'm using the following function:
> portfolio.optim(rr,target,covmat=cov(rr),riskless=T,rf=.001,shorts=T)
>
> Now I need to find the weight and risk but this time I need to use a
> specific correlation coefficient, which is in this case 0.4210423. Is there
> a way of doing this?
>
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-- 
Enrico Schumann
Lucerne, Switzerland
http://nmof.net/