LP Algorithms for Portfolio Optimization: The PortfolioOptim Package

Palczewski, A

Palczewski, A (reprint author), Univ Warsaw, Fac Math Informat & Mech, Banacha 2, PL-02097 Warsaw, Poland.

R JOURNAL, 2018; 10 (1): 308

Abstract

The paper describes two algorithms for financial portfolio optimization with the following risk measures: CVaR, MAD, LSAD and dispersion CVaR. These a......

Full Text Link