Functions for portfolio analysis

December 11, 2008
By

(This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers)

Functions include:
1. efficient.portfolio      compute minimum variance portfolio subject to target return
2. globalMin.portfolio      compute global minimum variance portfolio
3. tangency.portfolio      compute tangency portfolio
4. efficient.frontier      computer Markowitz bullet

http://faculty.washington.edu/ezivot/econ483/portfolio.ssc


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