Posts Tagged ‘ R finance portfolio optimization ’

Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up? In the calculation of returns for the market cap weighted portfolio andthe portfolio optimization portfolio, we simply took the starting weights (W0)and multiplied them by the relevant series of returns.resEqual = as.matri...

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Portfolio Optimization in R, a previous error.

December 25, 2011
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Portfolio Optimization in R, a previous error.

I realized that I made a mistake in the calculation of the market weight portfolio from the previous post.  I hold constant the portfolio weights through time. These should be adjusted after each day as prices change.  The market portfolio re...

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Top 7 articles of the week

  1. Top 100 R packages for 2013 (Jan-May)!
  2. A list of R packages, by popularity
  3. Dynamic Data Visualizations in the Browser Using Shiny
  4. Computerworld's Beginners Guide to R
  5. Select operations on R data frames
  6. Evaluating Optimization Algorithms in MATLAB, Python, and R
  7. Dave Harris on Maximum Likelihood Estimation

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