Optimization Book with R. (Style Based Analysis, MV Portfolio)
On Mon, 2008-04-07 at 13:57 -0400, gabe plaxico wrote:
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.
Take a look at: http://www.nabble.com/Implementing-Sharpe% 27s-style-analysis-with-solve.QP-td15681250.html#a15681250 ... and let me know if it's helpful at all. pcc
Peter Carl 145 Scottswood Rd Riverside, IL 60546 312 307 6346 http://www.braverock.com/~peter