| To: | s-news@lists.biostat.wustl.edu |
|---|---|
| Subject: | NuOpt and Loop |
| From: | santosh <santosh@igidr.ac.in> |
| Date: | Tue, 14 Aug 2007 15:23:38 +0530 (IST) |
| In-reply-to: | <552502e70708131803l6788ed98o6ca2b264d476745c@mail.gmail.com> |
|
Hi, I have done more than 1000 portfolio optimisation by employing NuOpt. It takes lots of time. I have written function which takes expected return and covariance matrix and do the mean variance optmisation. I have used apply function, but in vain. Is there any idea how to speed up 1000 optimisation? Thanks a lot. regards Santosh |
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