This is a summary of links featured on Quantocracy on Saturday, 01/23/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Complete Guide to Portfolio Optimization in R Part 1 [Milton FMR]The purpose of portfolio optimization is to minimize risk while maximizing the returns of a portfolio of assets. Knowing how much capital needs to be allocated to a particular asset can make or break an investors portfolio. In this article we will use R and the rmetrics fPortfolio package which relies on four pillars: Definition of portfolio input parameters, loading data and setting constraints.