[comments in-line below]
Regards,
- Brian
On Sat, 2011-08-06 at 18:19 -0400, John P. Burkett wrote:
Brian,
Thank you again for your script and thoughtful comments. After running
the script and trying some variations, I have a few questions about the
optimize.portfolio function and
On Sun, 2011-08-07 at 18:35 -0400, John P. Burkett wrote:
Brian,
Thanks for your lucid explanations of how PortfolioAnalytics works. I
have no objections to you forwarding your replies to the list. My
comments and questions are inserted below.
Brian G. Peterson wrote:
I think your
Auftrag von
John P. Burkett
Gesendet: Montag, 1. August 2011 18:49
An: R-SIG-Finance@r-project.org
Betreff: [R-SIG-Finance] Sharpe's algorithm for portfolio improvement
An attractive sounding algorithm for maximizing the expected
utility of of a portfolio was proposed by William F. Sharpe
-sig-finance-boun...@r-project.org] Im Auftrag von John P.
Burkett
Gesendet: Montag, 1. August 2011 18:49
An: R-SIG-Finance@r-project.org
Betreff: [R-SIG-Finance] Sharpe's algorithm for portfolio improvement
An attractive sounding algorithm for maximizing the expected utility
of of a portfolio
[comments inline]
-Ursprüngliche Nachricht-
Von: Brian G. Peterson [mailto:br...@braverock.com]
Gesendet: Dienstag, 2. August 2011 14:37
An: Enrico Schumann
Cc: 'John P. Burkett'; R-SIG-Finance@r-project.org
Betreff: Re: [R-SIG-Finance] Sharpe's algorithm for portfolio
An attractive sounding algorithm for maximizing the expected utility of
of a portfolio was proposed by William F. Sharpe in An algorithm for
portfolio improvement, Advances in Mathematical Programming and
Financial Planning, 1987, pp. 155-170 and summarized by the same author
in Expected
Check the CRAN finance task view at
http://cran.r-project.org/web/views/Finance.html
There is a full eBook on portfolio optimization using Rmetrics,
https://.rmetrics.org/ebooks-portfolio, see also
http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf
and
An: R-SIG-Finance@r-project.org
Betreff: [R-SIG-Finance] Sharpe's algorithm for portfolio improvement
An attractive sounding algorithm for maximizing the expected utility
of of a portfolio was proposed by William F. Sharpe in An algorithm
for portfolio improvement, Advances in Mathematical
