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:

    34 exports 2 stars 0.83 score 15 dependencies 16 scripts 152 downloads

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

    TargetResultDate
    Doc / VignettesOKSep 01 2024
    R-4.5-winWARNINGSep 01 2024
    R-4.5-linuxWARNINGSep 01 2024
    R-4.4-winWARNINGSep 01 2024
    R-4.4-macWARNINGSep 01 2024
    R-4.3-winWARNINGSep 01 2024
    R-4.3-macWARNINGSep 01 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