I'd like to build a portfolio based upon modern portfolio theory and I'd like to find a tool I can use to calculate the proper mix of asset classes. Can anyone help with this? I think a good chart/graph showing stocks, bonds, oil, etc. along the efficient frontier would suffice as well.
PerformanceAnalytics in R and PortfolioAnalytics in R
Here is a tutorial from UW http://faculty.washington.edu/ezivot/econ424/portfolioFunctionsPowerPoint.pdf
There are two good tools in R project: Systematic Investor Toolbox and fPortfolio package.