Introduction to Portfolio Analysis in R
Kris Boudt
Professor, Free University Brussels & Amsterdam
...when they optimize an objective function while satisfying the constraints.
Possible Objectives | Possible Constraints |
---|---|
Maximize expected return | Only positive weights |
Minimize the variance | Weights sum to 1 (all capital needs to be invested) |
Maximize the Sharpe ratio | Portfolio expected return equals a target value |
Introduction to Portfolio Analysis in R