Würtz D., Ellis A., Chalabi Y., Chen W. Portfolio Optimization with R/Rmetrics

Rmetrics Association & Finance Online, Zurich, 2009. - 455 p. - ISBN: 978-3-90604-101-8.This is a book about portfolio optimization from the perspective of computational finance and financial engineering. Thus the main emphasis is to
briefly introduce the concepts and to give the reader a set of powerful tools to solve the problems in the field of portfolio optimization.
This book divides roughly into five parts. The first part, Chapters 1-10, is dedicated to the exploratory data analysis of financial assets, the second
part, Chapters 11-14, to the framework of portfolio design, selection and optimization, the third part, Chapters 15-19, to the mean-variance portfolio approach, the fourth part, Chapters 20-23, to the mean-conditional value-at-risk portfolio approach, and the fifth part, Chapters 24-26, to portfolio backtesting and benchmarking.