[R-SIG-Finance] single-period markowitz portfolio optimization

[Dirk Eddelbuettel]

On Wed, Mar 21, 2007 at 02:45:35PM +0100, Untern?hrer  Thomas wrote:
> I'm looking for a single-period markowitz porfolio omptimization algorithm (I have average returns and the covariance matrix).
> As far as I know the function MarkowitzPortfolio in the package fPortfolio needs a (time) series per asset.

Which, I presume, it uses to calculate the first and second moments
you already have.  So read and understand the relevant code following_
that calculation, and feed it your values.  Not a bad exercise.

> Is there allready a function I can use?

Try 

    help(portfolio.optim, package=tseries)

but it also starts from a set of returns.

Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison