RStudio for R Statistical Computing Cookbook

Optimizing portfolio composition and maximising returns with the Portfolio Analytics package

Portfolio optimization is basically composed of four main steps:

• Definition of portfolio components and past quotations
• Definition of portfolio constrains, for instance, in term of diversification or maximum loss
• Definition of objective to be optimized, usually in terms of returns
• Definition of optimal percentage composition, given constraints and objectives

In this recipe, we will employ PortfolioAnaltycs and some other packages by joining together functionalities from different packages in order to provide a convenient and straightforward way to compose a financial portfolio.

The recipe workflow will be as follows:

• Downloading stock prices
• Definition of portfolio ...