[R-SIG-Finance] portfolio optimization - maximizing returns for a given risk.

[Thomas Etheber]

Hi Lara,

there has been a thread dealing with this question some time ago.
You could have a look at:
https://stat.ethz.ch/pipermail/r-sig-finance/2008q4/003261.html

Hth
Thomas

Lara Shocron wrote:
> Dear All,
>
> I am doing some portfolio optimization using the portfolio.optim function in
> the tseries packages, which minimizes the risk of a portfolio for a given
> return objective.
> Do you know if it's possible to see things the other way around and maximize
> the return of a portfolio for a given risk objective?
>
> Many thanks,
>
> Lara
>
>
>