Other packages > Find by keyword >

highOrderPortfolios  

Design of High-Order Portfolios Including Skewness and Kurtosis
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("highOrderPortfolios", "0.1.1")



Attach the package and use:
library("highOrderPortfolios")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-10-11
Latest Update: 2022-10-20
Description:
The classical Markowitz's mean-variance portfolio formulation ignores heavy tails and skewness. High-order portfolios use higher order moments to better characterize the return distribution. Different formulations and fast algorithms are proposed for high-order portfolios based on the mean, variance, skewness, and kurtosis. The package is based on the papers: R. Zhou and D. P. Palomar (2021). "Solving High-Order Portfolios via Successive Convex Approximation Algorithms." . X. Wang, R. Zhou, J. Ying, and D. P. Palomar (2022). "Efficient and Scalable High-Order Portfolios Design via Parametric Skew-t Distribution." .
How to cite:
Daniel P. Palomar (2022). highOrderPortfolios: Design of High-Order Portfolios Including Skewness and Kurtosis. R package version 0.1.1, https://cran.r-project.org/web/packages/highOrderPortfolios. Accessed 07 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:47), 0.0.2 (2022-10-11 08:12), 0.1.0 (2022-10-19 09:45)
Other packages that cited highOrderPortfolios R package
View highOrderPortfolios citation profile
Other R packages that highOrderPortfolios depends, imports, suggests or enhances
Complete documentation for highOrderPortfolios
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

plaqr  
Partially Linear Additive Quantile Regression
Estimation, prediction, thresholding, transformation, and plotting for partially linear additive qua ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
PairedData  
Paired Data Analysis
Many datasets and a set of graphics (based on ggplot2), statistics, effect sizes and hypothesis test ...
Download / Learn more Package Citations See dependency  
blandr  
Bland-Altman Method Comparison
Carries out Bland Altman analyses (also known as a Tukey mean-difference plot) as described by JM B ...
Download / Learn more Package Citations See dependency  
ggTimeSeries  
Time Series Visualisations Using the Grammar of Graphics
Provides additional display mediums for time series visualisations. ...
Download / Learn more Package Citations See dependency  
skewlmm  
Scale Mixture of Skew-Normal Linear Mixed Models
It fits scale mixture of skew-normal linear mixed models using an expectation–maximization (EM) ty ...
Download / Learn more Package Citations See dependency  

28,905

R Packages

247,686

Dependencies

76,495

Author Associations

28,906

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA