Your best starting point if you want to do style based analysis is look
At W.F. Sharpe's 1992 paper on Style Analysis. A web search should
On aforementioned should bring on the paper reference.
-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of gabe
plaxico
Sent: Monday, April 07, 2008 1:57 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Optimization Book with R. (Style Based
Analysis,MV Portfolio)
Anyone have any suggestion on a good book for optimization using R?
Specifically looking for material addressing linear/quadratic
programming.
Mostly interested in mean-variance portfolio and MORE importantly style
based analysis.
Thanks in advance for the help. - Gabe
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