Implement Portfolio Optimization Algorithm in R

Implement a series of related algorithms described in the paper [login to view URL] in R and provide all R code and documentation.

The R code provided should be able to:

1. generate sets of scenarios as described in Appendices A and B

2. code the basic, linear, KerDR, and Kernel algorithms

3. generate the numerical output in section 4.3

If you are interested in working on this project, please respond to the following question:

The authors of the paper used FICO Xpress. I would like to use a native R optimizer or at least a free optimizer. Any thoughts on that, given the size of the problem?

Skills: Finance, Mathematics, R Programming Language, Statistical Analysis

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Project ID: #15394919