modopt.matlab - 'MatLab'-Style Modeling of Optimization Problems
'MatLab'-Style Modeling of Optimization Problems with 'R'. This package provides a set of convenience functions to transform a 'MatLab'-style optimization modeling structure to its 'ROI' equivalent.
Last updated 1 years ago
3.95 score 6 stars 1 packages 4 scripts 254 downloadsportfolio.optimization - Contemporary Portfolio Optimization
Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.
Last updated 6 years ago
3.20 score 2 stars 16 scripts 155 downloads