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arxiv: 1307.0450 · v2 · pith:SFIIL5CHnew · submitted 2013-07-01 · 💱 q-fin.PM

Portfolio Optimization in R

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keywords portfolioefficientfrontiermodeloptimizationriskyaddedanalytical
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We consider the problem of finding the efficient frontier associated with the risk-return portfolio optimization model. We derive the analytical expression of the efficient frontier for a portfolio of N risky assets, and for the case when a risk-free asset is added to the model. Also, we provide an R implementation, and we discuss in detail a numerical example of a portfolio of several risky common stocks.

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