ba736

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).