Portfolio Optimization with R Rmetrics by Diethelm Würtz, Yohan Chalabi, William Chen, Andrew Ellis

By Diethelm Würtz, Yohan Chalabi, William Chen, Andrew Ellis

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Additional info for Portfolio Optimization with R Rmetrics

Example text

Pie charts of weights . . . . . . . . . . . . . . . . . . . . . . . . . Mean Variance Portfolio Frontiers . . . . . . . . . . . . . . . . . . . Frontier plot functions . . . . . . . . . . . . . . . . . . . . . . . . Robust Covariance Estimators . . . . . . . . . . . . . . . . . . . . . Mean CVaR Portfolio Frontiers . . . . . . . . . . . . . . . . . . . . Extractors for the @windows slot .

The riskFreeRate argument of the @portfolio slot . . . . . . . . . . . The nFrontierPoints argument of the @portfolio slot . . . . . . . . . . The status argument . . . . . . . . . . . . . . . . . . . . . . . . . Extractor functions for the @optim slot . . . . . . . . . . . . . . . . . Constructor functions for the @optim slot . . . . . . . . . . . . . . . Solver arguments in the optim slot .

The objective argument for the @optim slot . . . . . . . . . . . . . . . The options argument for the @optim slot . . . . . . . . . . . . . . . The control argument for the @optim slot . . . . . . . . . . . . . . . The argument list for the @message slot . . . . . . . . . . . . . . . . The @data slot . . . . . . . . . . . . . . . . . . . . . . . . . . . . The @statistics slot .

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