[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.


   - Brian

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