This node allows you to minimum variance portfolios based on price series of financial assets. The node will provide optimal weights for each asset included portfolio to have minunmum risk and node will also create a visualization for risk-return characteristics of a portfolio which is known as efficient frontier.
In "Model Options" tab, you need to select price series that you would like to work with and run the node.
###Requirements
- IBM SPSS Modeler v18 or later
- "R Essentials for SPSS Modeler" plugin: Download here
- R 2.15.x or R 3.1 (Use this link to find the correct version)
###Installation instructions
- Download the extension.
- Install extension from gallery
###R Packages used
No additional package is required other than standardpackages that comes with R installation.
###Documentation and samples
- There is a sample stream with data and step-by-step guide available in the Example directory
###License
###Contributors
- Umit Mert Cakmak