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Portfolio Optimization in R

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  • M. Andrecut

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.

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  • M. Andrecut, 2013. "Portfolio Optimization in R," Papers 1307.0450, arXiv.org, revised Nov 2013.
    • Handle: RePEc:arx:papers:1307.0450
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