Message-ID: <001401d0356b$4432b110$cc981330$@org>
Date: 2015-01-21T11:13:20Z
From: Pierre Org
Subject: Portfolio Optimisation as a function of targeted Risk rather than return.
I am currently working on a portfolio optimisation strategy that would
involves optimising a portfolio so that it maximises the returns for a user
defined level of risk. E.g. keeping the volatility of the portfolio at 10%
annualised whilst maximising the return for this level. For that purpose I
was hoping to use the function maxreturnPortfolio in fPortfolio that should
return the portfolio with the maximal return for a fixed target risk.
Clearly though showing in this great package the function has been/is in
development by the authors of the package and currently does not work as
intended. This is confirmed by various posts and answer to those by the
authors. I wonder if anyone knows of another more up to date package or
way of doing this in R ?
Any help would be really appreciated.
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