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Dec 11

Functions for portfolio analysis

Posted by abiao at 15:07 | Code » R/Splus | Comments(0) | Reads(11513)
Functions include:
1. efficient.portfolio      compute minimum variance portfolio subject to target return
2. globalMin.portfolio      compute global minimum variance portfolio
3. tangency.portfolio      compute tangency portfolio
4. efficient.frontier      computer Markowitz bullet

http://faculty.washington.edu/ezivot/econ483/portfolio.ssc


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