[R-SIG-Finance] Portfolio Optimisation as a function of targeted Risk rather than return.

[Pierre Org]

I am currently working on a portfolio optimisation strategy that would
involves optimising  a portfolio so that it maximises the returns for a user
defined level of risk.   E.g. keeping the volatility of the portfolio at 10%
annualised whilst maximising the return for this level. For that purpose I
was hoping to use the function maxreturnPortfolio  in fPortfolio that should
return the portfolio with the maximal return for a fixed target risk.
Clearly  though showing in this great package the function has been/is  in
development by the authors of the package and currently does not work as
intended. This is confirmed  by various posts and answer to those by the
authors.   I wonder if anyone knows of another more up to date  package or
way of doing this in R ? 

 

Any help would be really appreciated.

 

 

 


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