Tutorial: Portfolio Optimization Using R

I wrote a tutorial on how to implement some portfolio optimizers in R for a class. The tutorial implements three types of factor models:

• A Fama-French three factor model


• An industry cross-sectional model


• A principal component analysis model

This is for instructional purposes only: it's not a software for you to plug in your portfolio and start investing. However, if you make millions doing so, I wouldn't mind a 10% cut.

Two things that are not in the tutorial but that are important if you really want to implement something for real use are:

• Selecting the data that will be used for optimization (I use the Dow Jones Industrial Average from 2006 to 2010)


• Optimizing Sharpe ratios by combining the portfolio with a risk-free asset (such as T-bills)

Download Factor Models

Managerial economics (B ECON 300) class notes

It is very possible that many of my Managerial Economics students will scour the web for class notes (instead of using the course website). And maybe, just maybe, after spending some time on Wikipedia's article on Managerial Economics and in some random essay mills, they may find the lecture notes here.

It's very possible that looking at the course website would have been faster, but the course website is not integrated with Facebook and not accessible through Google, so I'm just making it easy on them.

Download Managerial Economics Lecture Notes