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PortfolioOptim  

Small/Large Sample Portfolio Optimization
View on CRAN: Click here


Download and install PortfolioOptim package within the R console
Install from CRAN:
install.packages("PortfolioOptim")

Install from Github:
library("remotes")
install_github("cran/PortfolioOptim")

Install by package version:
library("remotes")
install_version("PortfolioOptim", "1.1.1")



Attach the package and use:
library("PortfolioOptim")
Maintained by
Andrzej Palczewski
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-04-20
Latest Update: 2019-02-07
Description:
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.
How to cite:
Andrzej Palczewski (2017). PortfolioOptim: Small/Large Sample Portfolio Optimization. R package version 1.1.1, https://cran.r-project.org/web/packages/PortfolioOptim. Accessed 05 Aug. 2026.
Previous versions and publish date:
(2026-07-09 08:17), 1.0.3 (2017-04-20 10:55)
Other packages that cited PortfolioOptim R package
View PortfolioOptim citation profile
Other R packages that PortfolioOptim depends, imports, suggests or enhances
Complete documentation for PortfolioOptim
Functions, R codes and Examples using the PortfolioOptim R package
Some associated functions: BDportfolio_optim . PortfolioOptimProjection . dot-F_func . dot-RISK_post . dot-ZI_projection . dot-make_diag . 
Some associated R codes: BDportfolio_optim.R . F_func.R . PortfolioOptimProjection.R . RISK_post.R . ZI_projection.R . make_diag.R .  Full PortfolioOptim package functions and examples
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