optimization-vignette.Rnw

% 
\documentclass[12pt,letterpaper,english]{article}
\usepackage[OT1]{fontenc}
\usepackage{Sweave}
\begin{document}

\title{Portfolio Optimization with \pkg{optimizer}}
\author{Peter Carl \& Brian G. Peterson}

\makeatletter
\makeatother
\maketitle

\begin{abstract}
  This vignette describes the steps used to optimize a portfolio of financial assets.
\end{abstract}

\tableofcontents

\section{Introduction}

<<LoadLibrary,echo=F,results=hide>>=
library('optimizer') # also loads PerformanceAnalytics, etc.
@

\section{Getting Started}
\subsection{Load and review data}
Describe the data.  Zero fill the data where necessary.  discuss the tradeoffs with zero filling and speed.
%
\begin{figure}
\caption{First Lines of the managers Object }
\label{fig:First-Lines-of}
<<LoadData,echo=T>>=
data(edhec)
#managers=read.csv("/home/peter/dev/R/managers.csv",row.names=1)
head(managers)
@
\end{figure}

\subsection{Select an optimizer}


\section{Unconstrained mean-variance optimization}

\section{Adding constraints}

\subsection{Adding portfolio constraints}

\subsection{Adding per-asset weight constraints}

\section{Value-at-Risk and Expected Shortfall}

\section{Optimization with higher moments}


\end{document}