Exercise

# Solve a simple portfolio optimization problem

This first exercise will teach you how to solve a simple portfolio optimization problem using `PortfolioAnalytics`

. You will learn how to create a portfolio specification object, add constraints and objectives, and solve the optimization problem. The portfolio problem is to form a minimum variance portfolio subject to full investment and long only constraints. The objective is to minimize portfolio variance. There are two constraints in this problem: the full investment constraint means that the weights must sum to 1, and the long only constraint means that all weights must be greater than or equal to 0 (i.e. no short positions are allowed).

Instructions

**100 XP**

- Create a portfolio specification object using asset names from the
`index_returns`

dataset and name the portfolio specification object`port_spec`

. - Add a full investment constraint such that the weights sum to 1 to the
`port_spec`

object. - Add a long only constraint such that the weight of an asset is between 0 and 1 to the
`port_spec`

object. - Add an objective to minimize portfolio standard deviation to the
`port_spec`

object. - Solve the portfolio optimization problem using
`optimize_method = "ROI"`

. Assign the results of the optimization to an object named`opt`

.