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].


Reference manual

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1.1.1 by Anurag Agrawal, 20 days 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, ggplot2, purrr, rvest, quantmod, rMorningStar, quadprog, dplyr, xts, lubridate, readr, tidyr, xml2

See at CRAN