Portfolio_Optimization_with_R_Rmetrics

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This is a book about portfolio optimization from the perspective of compu- tational finance and financial engineering. Thus the main emphasis is to briefly introduce the concepts and to give the reader a set of powerful tools to solve the problems in the field of portfolio optimization.
Diethelm wirtz Yohan chalabi William Chen Andrew ellis Portfolio Optimization with R/Rmetrics May11,2009 Rmetrics association Finance online Zurich Series editors PD Dr Diethelm wurtz Dr Martin hanf Institute of Theoretical Physics and Finance online gmbh Curriculum for Computational Science Weinbergstrasse 41 Swiss Federal Institute of Technology 8006 Zurich nggerberg, HIT K 32 8093 Zurich Contact address Publisher. Rmetrics Association Finance online gmbh Weinbergstrasse 41 Swiss Information Technologies 8006 Zurich Weinbergstrasse 41 info@rmetrics. org 8006 Zurich Auth Yohan Chalabi, ETH Zurich William Chen university of Auckland Andrew ellis, Finance online gmbh Zurich Diethelm Wurtz, ETH Zurich ISBN iSbn: DOⅠ: c 2009, Finance Online gmbh, Zurich All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher(Finance Online gmbH) except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden Limit of Liability/Disclaimer of Warranty: While the publisher and authors have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpo warranty may be created or extended by sales representatives or written sales materials The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor authors shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages Trademark notice: Product or corporate names may be trademarks or registered trade- marks, and are used only for identification and explanation, without intent to infringe Revision History May 2009: 1st edition Version control information: Revision 1142 This book is dedicated to all those who have helped make rmetrics what it is today The leading open source software environment in computational finance and financial engineering

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