# Overview of Portfolio Models

 2 Hello, after stumbling upon this blog post I wonder if there is a comprehensive list of portfolio models? (If not, maybe this question could serve as community wiki?) asked 15 Apr '10, 12:00 Karsten W. 203●1●1●8 accept rate: 0%

 2 R has a great list of Financial packages including a "portfolio" package. From the site... The portfolio package contains classes for equity portfolio management; the portfolioSim builds a related simulation framework and tradeCosts estimates the potential impact of trades on the prevalent market prices. The backtest offers tools to explore portfolio-based hypotheses about financial instruments. The stockPortfolio packages provides functions for single index, constant correlation and multigroup models. http://cran.opensourceresources.org/web/views/Finance.html answered 15 Apr '10, 12:47 larrydag 1 ♦ 3.2k●6●14●26 accept rate: 9% It is good to know that there readily available package. I am looking for information on what a single index model etc. is, i.e. what the underlying mathematical model is. (15 Apr '10, 13:34) Karsten W. R has an implementation of CVaR. It is always very helpful. (16 Apr '10, 05:09) Mark ♦
 2 Some of the new developments in the field has been on using conic programming on the Markovitz model see this paper http://linkinghub.elsevier.com/retrieve/pii/S0167637708000588 answered 15 Apr '10, 19:01 Mark ♦ 3.6k●2●25●50 accept rate: 9%
 0 OK, here is the classical portfolio optimization (the Markovitz model) Var(R) = sum_i sum_j w_i w_j Cov(R_i, R_j) --> min!  subject to ER = sum_i w_i ER_i is fixed sum_i w_i = 1 w_i >= 0 for all i  where R ... portfolio return R_i ... return of position i in the portfolio w_i ... the portion of position i in the portfolio ER, ER_i ... the expected return Var(R) ... the variance (or risk) of the portfolio Cov(R_i, R_j) ... the variance/covariance of the return of two positions  Now the solution of this problem gives a composition of the portfolio with the least risk given an expected return (which characterizes the portfolio strategy). I hope I stated it right. If you see any error, feel free to correct it. I made it a community wiki for that purpose ... What I do not see is the equivalence to the problem formulated the blog post I cite in the question... link This answer is marked "community wiki". answered 19 Apr '10, 20:06 Karsten W. 203●1●1●8 accept rate: 0% The equivalence is shown by another great post of Mr Kavelagen -- http://tinyurl.com/35zqhrw (24 Apr '10, 17:01) Karsten W.
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