From: gabe plaxico <gplaxico at gmail.com> Date: 2008/04/07 Mon PM 12:57:00 CDT To: r-sig-finance at stat.math.ethz.ch Subject: [R-SIG-Finance] Optimization Book with R. (Style Based Analysis, MV Portfolio)
I know of 2 books but neither are R specific and one is S+ specific. 1) introduction to modern portfolio optimization with nuopt, s-plus and s+bayes. 2) portfolio construction and risk budgeting is more of a theoretical ( also applied in the sense of it gives examples ) book without specific commands. Both are by Bernd Scherer and the first is Co-Auhored by Douglass Martin. They are both decent but I was looking for an example yesterday of the best way to include the notional in a portfolio optimization ( i.e: the maximum dollars one wants to spend on the long and short side of a market neutral portfolio ) and I couldn't find anything relevant in either. I'm not saying the books aren't good but I was hoping to find a simple example and I didn't. 2) gets pretty theoretical in terms of handling various issues ( downside risk, transaction cost error etc ). for 1) you really need S+ in my opinion.
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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