I wrote a tutorial on how to implement some portfolio optimizers in R for a class. The tutorial implements three types of factor models:
- A Fama-French three factor model
- An industry cross-sectional model
- A principal component analysis model
This is for instructional purposes only: it's not a software for you to plug in your portfolio and start investing. However, if you make millions doing so, I wouldn't mind a 10% cut.
Two things that are not in the tutorial but that are important if you really want to implement something for real use are:
- Selecting the data that will be used for optimization (I use the Dow Jones Industrial Average from 2006 to 2010)
- Optimizing Sharpe ratios by combining the portfolio with a risk-free asset (such as T-bills)