[R-SIG-Finance] Optimization Book with R. (Style Based Analysis, MV Portfoli

markleeds at verizon.net markleeds at verizon.net
Mon Apr 7 20:06:32 CEST 2008

>From: gabe plaxico <gplaxico at gmail.com>
>Date: 2008/04/07 Mon PM 12:57:00 CDT
>To: r-sig-finance at stat.math.ethz.ch
>Subject: [R-SIG-Finance] Optimization Book with R. (Style Based Analysis,	MV Portfolio)

I know of 2 books but neither are R specific
and one is S+ specific.

1) introduction to modern portfolio optimization
with nuopt, s-plus and s+bayes.

2) portfolio construction and risk budgeting is
more of a theoretical ( also applied in
the sense of it gives examples )  book without
specific commands.

Both are by Bernd Scherer and the
first is Co-Auhored by Douglass Martin. 
They are both decent but I was looking for an example yesterday of the best way to include the notional in
a portfolio optimization ( i.e: the maximum
dollars one wants to spend on the long and short side
of a market neutral portfolio ) and I couldn't
find anything relevant in either. I'm not
saying the books aren't good but I was
hoping to find a simple example and I didn't.

2) gets pretty theoretical in terms of
handling various issues ( downside risk,
transaction cost error etc ).

for 1) you really need S+ in my opinion.


>Anyone have any suggestion on a good book for optimization using R?
>Specifically looking for material addressing linear/quadratic programming.
>Mostly interested in mean-variance portfolio and MORE importantly
>style based analysis.
>Thanks in advance for the help. - Gabe
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