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

[Ilya Kipnis]

Check out the PortfolioAnalytics package.

On Wed, Jan 21, 2015 at 6:13 AM, Pierre Org <pierre at lequeux.org> wrote:

> 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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