Contemporary Portfolio Optimization Modeling with R

This page is part of the Quantitative Finance and Financial Engineering with R repository and provides information, supplementary material, as well as additional content for the Webinar Contemporary Portfolio Optimization Modeling with R. For more information, contact < quant AT >

Webinar - Abstract

In the first part of this Webinar we review the most common ways to conduct the task of portfolio optimization with R. After this introduction, which can be of use for anyone interested in portfolio opimization in general, some remarks on the modeling of portfolio problems will be addressed. In the second part, a revolutionary way to model and solve portfolio optimization problems using R will be shown. The basic idea of conceptualizing a new way to model portfolio optimization problems is to build a portfolio optimization modeling language on top of a generalized algebraic modeling language. By focussing on a number of different modeling and optimization approaches, the Webinar is going to provide new insights for a broad range of interested parties.

Webinar - Content

Last Update: October 25th, 2016 - Current Version: 1

Below you can find the latest version of the slides and the quick-start code. To use the quick-start code, simply download the R script, open it with RStudio and source it (e.g. by using the menu Code/Source).

Slides (PDF) Quick-Start (R script)