Portfolio Optimization in R

M. Andrecut

Papers from arXiv.org

Abstract: We consider the problem of finding the efficient frontier associated with the risk-return portfolio optimization model. We derive the analytical expression of the efficient frontier for a portfolio of N risky assets, and for the case when a risk-free asset is added to the model. Also, we provide an R implementation, and we discuss in detail a numerical example of a portfolio of several risky common stocks.

Date: 2013-07, Revised 2013-11
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1307.0450

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