Rmetrics - Portfolio Selection and Optimization

Provides a collection of functions to optimize portfolios and to analyze them from different points of view.


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install.packages("fPortfolio")

3042.83 by Tobias Setz, a year ago


https://www.rmetrics.org


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


Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb] , William Chen [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports fCopulae, robustbase, MASS, Rglpk, slam, Rsolnp, quadprog, kernlab, rneos, methods, grDevices, graphics, stats, utils

Depends on timeDate, timeSeries, fBasics, fAssets

Suggests Rsocp, Rnlminb2, Rdonlp2, Rsymphony, dplR, bcp, fGarch, mvoutlier


Imported by BLCOP.

Depended on by JFE.


See at CRAN