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1、PortfolioOptimizationwithR/RmetricsDiethelmWürtzYohanChalabiWilliamChenAndrewEllis RmetricsAssociation&FinanceOnlineDiethelmWürtzYohanChalabiWilliamChenAndrewEllisPortfolioOptimizationwithR/RmetricsMay11,2009RmetricsAssociation&FinanceOnlineZurichSeriesEditors:PDDr.
2、DiethelmWürtzDr.MartinHanfInstituteofTheoreticalPhysicsandFinanceOnlineGmbHCurriculumforComputationalScienceWeinbergstrasse41SwissFederalInstituteofTechnology8006ZurichHönggerberg,HITK32.28093ZurichContactAddress:Publisher:RmetricsAssociationFinanceOnlineGmbHWeinber
3、gstrasse41SwissInformationTechnologies8006ZurichWeinbergstrasse41info@rmetrics.org8006ZurichAuthors:YohanChalabi,ETHZurichWilliamChen,UniversityofAucklandAndrewEllis,FinanceOnlineGmbHZurichDiethelmWürtz,ETHZurichISBN:eISBN:DOI:©2009,FinanceOnlineGmbH,ZurichAllrights
4、reserved.Thisworkmaynotbetranslatedorcopiedinwholeorinpartwithoutthewrittenpermissionofthepublisher(FinanceOnlineGmbH)exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Useinconnectionwithanyformofinformationstorageandretrieval,electronicadaptation,com
5、putersoftware,orbysimilarordissimilarmethodologynowknownorhereafterdevelopedisforbidden.LimitofLiability/DisclaimerofWarranty:Whilethepublisherandauthorshaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcomplet
6、enessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceandstrategiescontainedhereinmaynotbesuitableforyoursituation.Y
7、oushouldconsultwithaprofessionalwhereappropriate.Neitherthepublishernorauthorsshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamages.Trademarknotice:Productorcorporatenamesmaybetrademarksorre
8、gisteredtrade-marks,andareusedonlyforidentificationandexplanation,withoutintenttoinfringe.viiRevisionHistoryMay2009:1steditionVersioncontro
