Optimal Portfolios and the R Programming Language

摘要

This paper develops a program in the freely available open-source R programming language to calculate weights for optimal stock portfolios. The program retains the advantages the Thompson and El-houbi (2012) SAS program has over similar programs in Excel, but avoids the potential problem of limited access to SAS that some students and researchers may face. The R program also extends the Thompson and El-houbi program by including the ability to accommodate short-sale restrictions and position limits.