Contemporary Portfolio Optimization Modeling with R

About this Webinar

In September 2016 was asked to create an updated version of the 2013 Webinar Finance with R by Interactive Brokers. The emphasis was to put a clear focus on portfolio optimization modeling. These efforts resulted in a Webinar first aired on October 25th, 2016. You can find supplementary material for this Webinar, including slides and R Code here.

Webinar – Abstract

In the first part of this Webinar we review the most common ways to conduct the task of portfolio optimization with R. After this introduction, which can be of use for anyone interested in portfolio optimization in general, some remarks on the modeling of portfolio problems will be addressed. In the second part, a revolutionary way to model and solve portfolio optimization problems using R will be shown. The basic idea of conceptualizing a new way to model portfolio optimization problems is to build a portfolio optimization modeling language on top of a generalized algebraic modeling language. By focusing on a number of different modeling and optimization approaches, the Webinar is going to provide new insights for a broad range of interested parties.

Webinar – Content

Last Update: October 25th, 2016 – Current Version: 1

Below you can find the latest version of the slides and the quick-start code. To use the quick-start code, simply download the R script, open it with RStudio and source it (e.g. by using the menu Code/Source).

If you have any questions, please contact us any time.