portfolio.optimization: Contemporary Portfolio Optimization

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

Version: 1.0-0
Depends: R (≥ 3.5), xts, MASS, magrittr, modopt.matlab
Published: 2018-08-24
Author: Ronald Hochreiter [aut, cre]
Maintainer: Ronald Hochreiter <ron at hochreiter.net>
License: MIT + file LICENSE
URL: http://www.finance-r.com/
NeedsCompilation: no
Materials: README NEWS
CRAN checks: portfolio.optimization results


Reference manual: portfolio.optimization.pdf
Package source: portfolio.optimization_1.0-0.tar.gz
Windows binaries: r-devel: portfolio.optimization_1.0-0.zip, r-release: portfolio.optimization_1.0-0.zip, r-oldrel: portfolio.optimization_1.0-0.zip
OS X binaries: r-release: portfolio.optimization_1.0-0.tgz, r-oldrel: portfolio.optimization_1.0-0.tgz


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