Package: portfolio.optimization 1.0-0

portfolio.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>.

Authors:Ronald Hochreiter [aut, cre]

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portfolio.optimization.pdf |portfolio.optimization.html✨
portfolio.optimization/json (API)

# Install 'portfolio.optimization' in R:
install.packages('portfolio.optimization', repos = c('https://rhochreiter.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/rhochreiter/portfolio.optimization/issues

On CRAN:

Conda-Forge:

3.26 score 2 stars 18 scripts 191 downloads 34 exports 15 dependencies

Last updated 7 years agofrom:db79f567d7. Checks:1 OK, 7 WARNING. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKFeb 16 2025
R-4.5-winWARNINGFeb 16 2025
R-4.5-macWARNINGFeb 16 2025
R-4.5-linuxWARNINGFeb 16 2025
R-4.4-winWARNINGFeb 16 2025
R-4.4-macWARNINGFeb 16 2025
R-4.3-winWARNINGFeb 16 2025
R-4.3-macWARNINGFeb 16 2025

Exports:active.extensionalphaaux_portfolio.defaultaux_risk.aliasaux_simulate.scenariosllinear.constraint.eqlinear.constraint.iqlong.onlylower.boundmomentumobjectiveopt.poptimal.portfoliooptimal.portfolio.1overNoptimal.portfolio.expected.shortfalloptimal.portfolio.expected.shortfall.long.shortoptimal.portfolio.madoptimal.portfolio.mad.long.shortoptimal.portfolio.markowitzoptimal.portfolio.momentumoptimal.portfolio.rewardp.mop.optpo.tutorialportfolioportfolio.lossportfolio.modelportfolio.weightsprint.portfolio.modelupper.boundwweightsx

Dependencies:backportscheckmatelatticemagrittrMASSmodopt.matlabquadprogregistryRglpkROIROI.plugin.glpkROI.plugin.quadprogslamxtszoo