Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Portfolio optimization and analysis routines and graphics.


Reference manual

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1.1.0 by Brian G. Peterson, 4 years ago


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

Authors: Brian G. Peterson [cre, aut, cph] , Peter Carl [aut, cph] , Kris Boudt [ctb, cph] , Ross Bennett [ctb, cph] , Hezky Varon [ctb] , Guy Yollin [ctb] , R. Douglas Martin [ctb]

Documentation:   PDF Manual  

GPL-2 | GPL-3 license

Imports methods

Depends on zoo, xts, foreach, PerformanceAnalytics

Suggests quantmod, DEoptim, iterators, fGarch, Rglpk, quadprog, ROI, ROI.plugin.glpk, ROI.plugin.quadprog, ROI.plugin.symphony, pso, GenSA, corpcor, testthat, nloptr, MASS, robustbase

Suggested by portsort.

See at CRAN