Portfolio Optimization with R

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1、PortfolioOptimizationwithR/RmetricsDiethelmWürtzYohanChalabiWilliamChenAndrewEllisRmetricsAssociation&FinanceOnlineDiethelmWürtzYohanChalabiWilliamChenAndrewEllisPortfolioOptimizationwithR/RmetricsMay11,2009RmetricsAssociation&FinanceOnlineZurichSeriesEditors:PDDr.DiethelmW

2、ürtzDr.MartinHanfInstituteofTheoreticalPhysicsandFinanceOnlineGmbHCurriculumforComputationalScienceWeinbergstrasse41SwissFederalInstituteofTechnology8006ZurichHönggerberg,HITK32.28093ZurichContactAddress:Publisher:RmetricsAssociationFinanceOnlineGmbHWeinbergstrasse41SwissInf

3、ormationTechnologies8006ZurichWeinbergstrasse41info@rmetrics.org8006ZurichAuthors:YohanChalabi,ETHZurichWilliamChen,UniversityofAucklandAndrewEllis,FinanceOnlineGmbHZurichDiethelmWürtz,ETHZurichISBN:eISBN:DOI:©2009,FinanceOnlineGmbH,ZurichAllrightsreserved.Thisworkmaynotbetr

4、anslatedorcopiedinwholeorinpartwithoutthewrittenpermissionofthepublisher(FinanceOnlineGmbH)exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Useinconnectionwithanyformofinformationstorageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimila

5、rmethodologynowknownorhereafterdevelopedisforbidden.LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorshaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydis

6、claimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceandstrategiescontainedhereinmaynotbesuitableforyoursituation.Youshouldconsultwithaprofessionalwhereappropriate.Neith

7、erthepublishernorauthorsshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamages.Trademarknotice:Productorcorporatenamesmaybetrademarksorregisteredtrade-marks,andareusedonlyforidentificationandexplanatio

8、n,withoutintenttoinfringe.viiRevisionHistoryMay2009:1steditionVersioncontro