Portfolio Optimisation in R

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For this tutorial, both minimum-variance and mean-variance will be taught. The PortfolioAnalytics package will be used extensively throughout as it allows for a simple workflow for portfolio optimisations. The first part of the code is to define that a portfolio optimisation problem exists. The only variable that needs to be defined is the names of the components of the portfolio. It will then print out a summary of the portfolio defined so far.

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