Version 3 of POP Portfolio Construction Suite is now
released. This is commercial software that runs under
both S-PLUS and R.
The highlights are:
It is now available under Linux as well as Windows.
More efficient optimization, especially in 'portfolio.optimizer'
when there are more than about 30 assets traded.
More constraints: including portfolio threshold constraints,
lower bounds on variance and tracking error constraints,
upper bounds on alpha constraints, lower bounds on portfolio
size and the number of assets traded, cost constraints, constraints
on the number of positions to close. Most, but not all, of these
additional constraints are mainly useful for generating random
portfolios.
Forced trades are now supported.
More details are on the Burns Statistics website, including
the updated POP User's Manual.
Patrick Burns
patrick@burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
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