Hi,

I've just read a few papers (By Mark Kritzman and others) that suggest
full-scale optimization is a viable, and perhaps preferable, alternative
to traditional mean-variance optimization.   From what I can tell full
sample optimization basically just takes a utility function and a
historical return series and then use some search algorithm to find the
asset weights that maximize utility.  I looked around on Rseek and R
site search but couldn't find any packages that had implementations of
full-scale optimization.  Does anyone know of packages which might have
this?  Also any thoughts on the validity of full-scale optimization
would be greatly appreciated.

Thanks for your help,

 

Ben


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