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I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal Risk Contribution strategies on IBOV, the cap weighted index of Brazilian Financial Market.

I've tried to found some codes on matlab or R of these strategies but I didn't have success. So I would like to awnser where can I find something that would help me to estimate the weights of the stocks ? It's hard for me doing all the code, because of that I'm asking for help.

Another thing is about the covariance matrix. I want to test the results with the sample covariance matrix, risk metrics, shrinkage and maybe DCC GARCH. How about that? It's really necessary to use more than two methods?

Hope you help me!

I appreciate!

Thanks.

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  • $\begingroup$ What is your question? $\endgroup$
    – vanguard2k
    Commented Jan 8, 2015 at 7:36
  • $\begingroup$ Hi Gabriel Wadih, please be more specific and keep in mind the rules laid out in the faq when asking. I've closed this question because it doesn't conform to our guidelines. If you can formulate a question that fits the guidelines we will be glad to try and answer it. $\endgroup$
    – Bob Jansen ♦
    Commented Jan 8, 2015 at 7:43

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I have found the slides from Yollin very useful for portfolio optimization using R such as mean-variance, max-sharpe ratio portfolio etc. http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf

Also, there are some packages in R for this such as $PortfolioAnalytics$ I believe : http://www.rinfinance.com/agenda/2014/workshop/RossBennett.pdf

PortfolioAnalytics Vignettes (PDF's with examples): https://r-forge.r-project.org/scm/viewvc.php/pkg/PortfolioAnalytics/vignettes/?root=returnanalytics

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