[R-sig-Finance] help on portfolio optimization

[Frederick Novomestky]

One of the best books on the subject of Portfolio Construction is by Bernd 
Scherer,  Portfolio Construction and Risk Budgeting, Second Edition, Risk 
Books, ISBN 1-904339-30-1.  It is slanted toward SPLUS but I have ported 
some of the models to R.  I also used this book in my Portfolio Theory and 
Applications course at Polytechnic University, Brooklyn, NY.

Best regards,

Fred Novomestky

At 11:16 AM 7/20/2006, Armstrong, Whit wrote:
>Can anyone suggest a good book on optimization as it pertains to
>portfolio construction?
>
>I'm trying to migrate a portfolio construction process that is currently
>being done in excel over to R.
>
>I'm having problems reworking the variance covariance matrix of assets,
>the forecasted alphas and the constraints into the arguments needed by
>the solve.QP function: Dmat, dvec, Amat, bvec, and meq.
>
>I've looked at portfolio.optim in the tseries package, but I have a
>different objective function:   maximize utility where: utility =
>expected return - risk aversion * volatility.
>
>Thanks,
>Whit
>
>
>
>
>
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Frederick Novomestky, Ph.D.
Novomestky Associates
41 Eastover Drive
East Northport, NY 11731-4330
Vox: 1.631.368.0701
Fax: 1.631.368.1696

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