[R-SIG-Finance] [R-sig-finance] robust portfolio optimization

[maratikus]

I am exploring robust portfolio optimization.  I have historical daily data
for 20 stocks over 2 year period.  i'd like to simulate 1,000 datasets of 1
year each that have autocorrelation and cross-correlation properties similar
to those of the historical data.  Then I'd like to find allocation that
maximizes minimum risk-adjusted return over 1,000 datasets.  All suggestions
are appreciated!
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