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highOrderPortfolios
View on CRAN: Click
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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]
[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 06 Nov. 2024.
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Other R packages that highOrderPortfolios depends,
imports, suggests or enhances
Complete documentation for highOrderPortfolios
Functions, R codes and Examples using
the highOrderPortfolios R package
Some associated functions: X100 . X200 . X50 . design_MVSK_portfolio_via_sample_moments . design_MVSK_portfolio_via_skew_t . design_MVSKtilting_portfolio_via_sample_moments . estimate_sample_moments . estimate_skew_t . eval_portfolio_moments . highOrderPortfolios-package .
Some associated R codes: MVSK.R . MVSK_skew_t.R . MVSKtilting.R . X100.R . X200.R . X50.R . auxiliary.R . highOrderPortfolios-package.R . utilities.R . Full highOrderPortfolios package functions and examples
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