I suspect that including Maximum drawdown in an
optimization is unlikely to be useful. However, I'm
anxious to be proven wrong.
It's not clear to me what specifically you are wanting
to do, but Manfred Gilli has done a fair amount on
VaR in optimization. (But I don't think you'll get any
R code off him.)
Patrick Burns
patrick@...
+44 (0)20 8525 0696
http://www.burns-stat.com(home of S Poetry and "A Guide for the Unwilling S User")
ian.mcdonald@... wrote:
> I am interested in doing a portfolio optimization, but I need to impose
> non-linear, functional constraints (i.e Max Drawdown, or VaR, etc). I've
> looked into several of the optimization routines (nlminb, constrOptim and
> optim with SANN/L-BFGS-B) but it appears that all of them are geared to
> linear constraints. Other than using a penalty function method, is anyone
> aware of any other approaches available in R?
>
> Thanks
> Ian McDonald
> Malbec Partners
>
> [[alternative HTML version deleted]]
>
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