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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.

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PerformanceAnalytics in R and PortfolioAnalytics in R

Here is a tutorial from UW http://faculty.washington.edu/ezivot/econ424/portfolioFunctionsPowerPoint.pdf

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There are two good tools in R project: Systematic Investor Toolbox and fPortfolio package.

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    $\begingroup$ Systematic Investor Toolbox masks base R functions, I would recommend against it. $\endgroup$
    – Kyle Balkissoon
    Commented Mar 14, 2015 at 1:56
  • $\begingroup$ I second Kyle's recommendation against. It has some interesting and valuable concepts, but the implementation is shaky. $\endgroup$
    – Joshua Ulrich
    Commented Mar 14, 2015 at 23:01

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