Can anyone suggest a good book on optimization as it pertains to
portfolio construction?

I'm trying to migrate a portfolio construction process that is currently
being done in excel over to R.

I'm having problems reworking the variance covariance matrix of assets,
the forecasted alphas and the constraints into the arguments needed by
the solve.QP function: Dmat, dvec, Amat, bvec, and meq.

I've looked at portfolio.optim in the tseries package, but I have a
different objective function:   maximize utility where: utility =
expected return - risk aversion * volatility.

Thanks,
Whit





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