Portfolio Optimization Methods

Collection of functions to optimize portfolio weights using quadratic programming. This package includes different functions to compute portfolio weights based on different constraints and methods. For more information see Markowitz, H.M. (1952), . "Analysis of Investments & Management of Portfolios" [2012, ISBN:978-8131518748].


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install.packages("PortfolioAnalysis")

1.0.6 by Anurag Agrawal, 3 months ago


Browse source code at https://github.com/cran/PortfolioAnalysis


Authors: Anurag Agrawal [aut, cre]


Documentation:   PDF Manual  


GPL-3 license


Imports PerformanceAnalytics, stringr, stringi, plotly, ggplot2, purrr, rvest, quantmod, rMorningStar, quadprog, dplyr, xts, lubridate, readr, tidyr, xml2


See at CRAN