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

[Peter Carl]

On Mon, 2008-04-07 at 13:57 -0400, gabe plaxico wrote:
> 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.

Take a look at:

http://www.nabble.com/Implementing-Sharpe%
27s-style-analysis-with-solve.QP-td15681250.html#a15681250

... and let me know if it's helpful at all.

pcc

-- 
Peter Carl
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312 307 6346
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