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

[Christian Prinoth]

This paper:

http://www.stanford.edu/~boyd/papers/portfolio.html

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}}