One book which I don't advise that claims to address that issue is called

"Optimal Portfolio Modelling - Models Using Excel and R: Models to Maximize Returns and Control Risk in Excel and R (Wiley Trading) by Philip McDonnell"

I don't find it helpful at all - the author actually reprints the original R-guide that is available in PDF on the web in 170 out of 300 pages...

So far I find existing pdf-documentation the most useful for optimization..

 

-----Original Message-----

From: r-sig-finance-bounces@stat.math.ethz.ch

[mailto:r-sig-finance-bounces@stat.math.ethz.ch <mailto:r-sig-finance-bounces@stat.math.ethz.ch> ] On Behalf Of gabe plaxico

Sent: Monday, April 07, 2008 1:57 PM

To: r-sig-finance@stat.math.ethz.ch

Subject: [R-SIG-Finance] Optimization Book with R. (Style Based Analysis,MV Portfolio)

Anyone have any suggestion on a good book for optimization using R?

Specifically looking for material addressing linear/quadratic programming.

Mostly interested in mean-variance portfolio and MORE importantly style based analysis.

Thanks in advance for the help. - Gabe

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