Portfolio Optimization in R

2013/07/01 by M. Andrecut, Andrecut, M.
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1307.0450

openalex publication_date 2013/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Related

• The Risk Profile Problem for Stock Portfolio Optimization
• A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
• Macroscopic theorem of the portfolio optimization problem with a risk-free asset
• Generalized distance to a simplex and a new geometrical method for portfolio optimization
• Portfolio Optimization with Spectral Measures of Risk