Rで学ぶ中級ポートフォリオ分析

This chapter will give you a brief review of Modern Portfolio Theory and introduce you to the PortfolioAnalytics package by solving a couple portfolio optimization problems.

The focus of this chapter is a detailed overview of the recommended workflow for solving portfolio optimization problems with PortfolioAnalytics. You will learn how to create a portfolio specification, add constraints, objectives, run the optimization, and analyze the results of the optimization output.

In this chapter, you will learn about estimating moments, characteristics of the distribution of asset returns, as well as custom objective functions.

In the final chapter of the course, you will solve a portfolio optimization problem that mimics a real world real world example of constructing a portfolio of hedge fund strategy with different style definitions.