English

Portfolio Optimization in R

Portfolio Management 2013-11-12 v2

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.

Keywords

Cite

@article{arxiv.1307.0450,
  title  = {Portfolio Optimization in R},
  author = {M. Andrecut},
  journal= {arXiv preprint arXiv:1307.0450},
  year   = {2013}
}

Comments

9 pages, 5 figures

R2 v1 2026-06-22T00:43:42.559Z