[R-SIG-Finance] portfolio optimization using higher moments
Brian G. Peterson
brian at braverock.com
Sat Sep 15 12:34:14 CEST 2007
Alexander Moreno wrote:
> Is there any R canned package which will optimize a portfolio using all four
> moments? Or are LPM, CVaR, and VaR optimization the best one can do in R (
> i.e. no Kurtosis)?
There are multiple different methods which have been proposed for
optimizing a portfolio using higher moments. Unfortunately, most of
them are not amenable to an analytical solution, so you are down to some
sort of sampling method, possibly with hill climbing, or brute force
with a large number of processors.
Is there a particular paper that you are trying to replicate?
This is one of my current areas of research. I would be interested in
collaborating if you are also working on this.
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