Portfolio Optimization in R

Published 1 Jul 2013 in q-fin.PM | (1307.0450v2)

Abstract: We consider the problem of finding the efficient frontier associated with the risk-return portfolio optimization model. We derive the analytical expression of the efficient frontier for a portfolio of N risky assets, and for the case when a risk-free asset is added to the model. Also, we provide an R implementation, and we discuss in detail a numerical example of a portfolio of several risky common stocks.

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M. Andrecut

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