Small/Large Sample Portfolio Optimization

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.


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install.packages("PortfolioOptim")

1.1.1 by Andrzej Palczewski, 6 months ago


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


Authors: Andrzej Palczewski [aut, cre] , Aleksandra Dabrowska [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance


GNU General Public License version 3 license


Imports Rsymphony

Suggests mvtnorm, Rglpk, testthat


See at CRAN