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.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.1.1 by Andrzej Palczewski, 2 years ago

Browse source code at

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