Rmetrics - Portfolio Selection and Optimization

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


Reference manual

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3042.83.1 by Tobias Setz, 2 years ago


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