PortfolioOptim

R package PortfolioOptim. Small/Large Sample Portfolio Optimization. Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

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References in zbMATH (referenced in 1 article )

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  1. Palczewski, Andrzej; Palczewski, Jan: Black-Litterman model for continuous distributions (2019)