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

Christian Prinoth Christian.Prinoth at epsilonsgr.it
Tue Apr 8 09:15:36 CEST 2008

This paper:


Contains some useful advice on doing what you want with standard tools
like solve.QP

-----Original Message-----
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.

DISCLAIMER:\ L'utilizzo non autorizzato del presente mes...{{dropped:16}}

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