[R] Optimal Asset Allocation with a specific level of Target Risk
massimiliano.talarico at poste.it
Wed Aug 22 22:16:13 CEST 2007
I would like to know if it is possible to obtain the
optimal asset allocation with the fPortfolio library (or
but setting at the beginning a desired level of Target Risk.
For example I can obtain the optimal asset allocation with
fPortfolio library or portfolio.optim() function (in
tseries library) setting a desired Target Return, but I
dont't know any library or function that allows to define a
specific level of Target Risk.
Any suggest ?
Thanks in advanced,
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