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'))

Peer review:

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

Datasets:

    On CRAN:

    3.20 score 2 stars 16 scripts 155 downloads 34 exports 15 dependencies

    Last updated 6 years agofrom:db79f567d7. Checks:OK: 1 WARNING: 6. Indexed: yes.

    TargetResultDate
    Doc / VignettesOKNov 18 2024
    R-4.5-winWARNINGNov 18 2024
    R-4.5-linuxWARNINGNov 18 2024
    R-4.4-winWARNINGNov 18 2024
    R-4.4-macWARNINGNov 18 2024
    R-4.3-winWARNINGNov 18 2024
    R-4.3-macWARNINGNov 18 2024

    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