Portfolio Allocation and Risk Management Applications

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

The portfolio allocation and risk managament applications (parma) package contains a unique set of methods and models for the optimal allocation of capital in financial portfolios. It uniquely represents certain discontinuous problems using their smooth approximation counterparts and implements fractional based programming for the direct optimization of risk-to-reward ratios. In combination with the rmgarch package, it enables the confident solution to scenario based optimization problems using such risk and deviation measures as Mean Absolute Deviation (MAD), Variance (EV), Minimax, Conditional Value at Risk (CVaR), Conditional Drawdown at Risk (CDaR) and Lower Partial Moments (LPM). In addition, it implements moment based optimization for use with the quadratic EV problem, and a higher moment CARA utility expansion using the coskewness and cokurtosis matrices generated from the GO-GARCH with affine GH or NIG distributions. Benchmark relative optimization (tracking error) is also implemented as are basic mixed integer cardinality constraints. Finally, for non-convex problem formulations such as the upper to lower partial moments function, global optimization methods using a penalty based method are available.

The stable version is on CRAN.


Reference manual

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1.5-3 by Alexios Ghalanos, 5 years ago

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

Authors: Alexios Ghalanos [aut, cre] , Bernhard Pfaff [ctb] , Miguel Sousa Lobo [ctb] (SOCP) , Lieven Vandenberghe [ctb] (SOCP) , Stephen Boyd [ctb] (SOCP) , Herve Lebret [ctb] (SOCP)

Documentation:   PDF Manual  

Task views: Empirical Finance, Optimization and Mathematical Programming

GPL-3 license

Imports slam, Rglpk, quadprog, corpcor, parallel, truncnorm

Depends on methods, nloptr

Suggests xts, Rsymphony

See at CRAN