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

[Pierre Org]

Thank you Ilya, much appreciated

 

 

 

From: Ilya Kipnis [mailto:ilya.kipnis at gmail.com] 
Sent: 21 January 2015 15:50
To: Pierre Org
Cc: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Portfolio Optimisation as a function of targeted Risk rather than return.

 

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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