[R-sig-finance] portfolio optimization

[brendan.mcmahon at sgcowen.com]

And of course the BEST R integrated optimizer, ease of use, powerful,
flexible ... alas commercial but even Pat has to eat!

www.burns-stat.com


Brendan




|---------+--------------------------------------->
|         |           "Pijus Virketis"            |
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|         |           Sent by:                    |
|         |           r-sig-finance-bounces at stat.m|
|         |           ath.ethz.ch                 |
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|         |           04/14/05 04:00 PM           |
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  |       To:       <r-sig-finance at stat.math.ethz.ch>                                                      |
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  |       Subject:  RE: [R-sig-finance] portfolio optimization                                             |
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Joe,

Others have already pointed out the available QP tools. Let me add that
you can always just write down utility as a function of portfolio
weights and use optim() to solve the Markowitz problem (and more).

Cheers,

-P

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Joe
Cerniglia
Sent: Thursday, April 14, 2005 3:33 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-sig-finance] portfolio optimization



Is there a portfolio optimization funtion available in Rmetrics?

I looked in the fSeries package and no optimization functions are
available?

Where could I obtain some optimization function to perform a Markowitz
optimiztion?

Thanks,

Joe

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