Hi !
Did anybody tried to implement Multi-Period Mean Variance Optimization
(MVO) (could be also on small portfolio - few securities) based on one of
these two working papers.

"Single-Period Mean: Variance Analysis in a Changing World - H. Markowitz
and E. van Dijk (2003)"
or

"Optimal Dynamic Portfolio Selection: Multiperiod Mean-variance
Formulation", Li and Ng (2000)"

If not how do you do that in R.

Thanks
Zak

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