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Optimization Book with R. (Style Based Analysis, MV Portfolio)

3 messages · gabe plaxico, ngottlieb at marinercapital.com, Peter Carl

Original
gabe plaxico
# 
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
ngottlieb at marinercapital.com
# 
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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Peter Carl
#
On Mon, 2008-04-07 at 13:57 -0400, gabe plaxico wrote:
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