[R] Using portfolio.optim in tseries (portfolio optimization question)
wizardchef at gmail.com
Thu Jan 15 03:32:57 CET 2015
I apologize if this question is posted in the wrong place. I am using
portfolio.optim to run an optimization on a stock portfolio. As I
understand modern portfolio theory, to run a mean-variance optimization
of the allocation for a portfolio, you must specify an expected return.
The examples at the bottom of the help page do not provide an expected
return (pm in the parameter list).
Two questions: a) What kind of portfolio results when no expected return
is provided? b) Is it possible to do a market portfolio optimization on
the Sharpe ratio with this function??
Thanks for any help.
More information about the R-help