Portfolio optimization
P. Carl and B.G. Peterson (2013), PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis. Available at http://cran.r-project.org/package=PerformanceAnalytics.
R. McTaggart and G. Daróczi (2013), Quandl: Quandl Data Connection. Available at http://cran.r-project.org/package=Quandl.
R. C. Merton (1993), On the Microeconomic Theory of Investment under Uncertainty, Handbook of Mathematical Economics, in: K. J. Arrow and M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, 601-669, Elsevier.
J.A. Ryan (2013), quantmod: Quantitative Financial Modelling Framework. Available at http://cran.r-project.org/package=quantmod.
A. Trapletti and K. Hornik (2013), tseries: Time Series Analysis and Computational Finance. Available at http://cran.r-project.org/package=tseries.
W. F. Sharpe (1964), Capital Asset Prices: A Theory of Market Equilibrium under Conditions Of Risk, Journal of Finance, American Finance Association 19, No. 3, 425-442, 09.
D. Wuertz and M. Hanf (2010), Portfolio Optimization with R/Rmetrics (Rmetrics Association & Finance Online) Available at www.rmetrics.org.
D. Wuertz and Y. Chalabi (2013), timeSeries: Rmetrics - Financial Time Series Objects. Available at http://cran.r-project.org/package=timeSeries.
