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functions to make application of Harry Markowitz portfollio optimization quick and easy. Calculate a vector of portfollio weights that minimize risk for a given return. To use this code first load the tseries and quantmod library.
The project summary page you can find here.
For more information contact dyedp39@yahoo.com
To use the code in this project you must first load the tseries , and quantmod librarys.
Then source these files in the sequence shown.
1 symbolReturn.R
2 symFundloop.R
3 5_sym_portfolio.R
This loads two functions and uses them to create a example portfolio.
your wokspace will contain optimum portfolio r.
r$pw is the theorectial idea weights for each symbol in the fund.