Burns Statistics has just released its POP Portfolio Optimizer, which
is available for a license fee. This has an interface designed to run
under either S-PLUS or R.
In addition to portfolio selection and asset allocation, there is
functionality
to generate random portfolios, and to estimate statistical factor models.
The website includes a new working paper on the best approach to
using statistical factor models to optimize portfolios with a benchmark.
Details are on http://www.burns-stat.com/
Patrick Burns
Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")
