Portfolio Optimization in R

Abstract

Portfolio optimization is the process of recombining investments and diversifying risk based on the established target return and risk tolerance. The goal of the thesis is to compare the performance of the portfolios obtained by different models in different sample periods by applying R as the main calculation tool. The thesis is divided into five chapters. The first chapter is an introduction. It is the outline of the whole thesis. The second chapter is the description of portfolio performance measures. The third chapter of this thesis is the introduction of the models which we can use for portfolio optimization. R programming language and R Studio are somewhat new compared to Excel in portfolio calculation. The fourth chapter is a calculation part of the thesis. We apply the models mentioned in chapter three in R. We mention the tangency portfolio and the global minimum variance portfolio. We apply strategies separately in two periods. The last chapter is the conclusion, which is a summary of the whole thesis according to the calculation results.