Palantir Wrote:
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Yeah but you need the historical returns and
correlation data for various timeframes in the
package.
How much work are you trying not to do??
(This sounds meaner than I really intended - but at some level I figured that you’d be inputting your own returns and correlation data for your optimizer - or at least raw levels)
There is an R package called Rmetrics, which has some tools and an optimizer for doing this in R. The package is free, but the documentation for it is a little pricey (and the strengthening CHF doesn’t help, since it’s priced in CHF).
I’m looking to pick asset classes and put them in portfolios and see where they lie on the efficient frontier. I want to do this without entering any historical return or correlation data of my own.
I have an optimizer thing I wrote in excel, but I’m really looking for something that comes with constantly updated historical data.
Ha I thought I was the only one. What field do you
work in that you use PSN?
Im the Chief Investment Strategist for a large CPA firm. I use it mostly because I subadvise out all of our investment management, so its my main due diligence tool. But I can get all of that other stuff done on their too. It has its limitations but I find it super user friendly and definitley the best “bang for the buck” when compared to competitors.
发表于 2013-4-22 06:38
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