Other packages > Find by keyword >

portfolio.optimization  

Contemporary Portfolio Optimization
View on CRAN: Click here


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

Install from Github:
library("remotes")
install_github("cran/portfolio.optimization")

Install by package version:
library("remotes")
install_version("portfolio.optimization", "1.0-0")



Attach the package and use:
library("portfolio.optimization")
Maintained by
Ronald Hochreiter
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-08-24
Latest Update: 2018-08-24
Description:
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) , Rockafellar and Uryasev (2001) and Markowitz (1952) .
How to cite:
Ronald Hochreiter (2018). portfolio.optimization: Contemporary Portfolio Optimization. R package version 1.0-0, https://cran.r-project.org/web/packages/portfolio.optimization. Accessed 05 Jun. 2026.
Previous versions and publish date:
1.0-0 (2018-08-24 18:10)
Other packages that cited portfolio.optimization R package
View portfolio.optimization citation profile
Other R packages that portfolio.optimization depends, imports, suggests or enhances
Complete documentation for portfolio.optimization
Functions, R codes and Examples using the portfolio.optimization R package
Some associated functions: active.extension . alpha . aux_portfolio.default . aux_risk.alias . aux_simulate.scenarios . linear.constraint.eq . linear.constraint.iq . long.only . lower.bound . momentum . objective . optimal.portfolio.1overN . optimal.portfolio.expected.shortfall.long.short . optimal.portfolio.expected.shortfall . optimal.portfolio.mad.long.short . optimal.portfolio.mad . optimal.portfolio.markowitz . optimal.portfolio.momentum . optimal.portfolio . optimal.portfolio.reward . po.tutorial . portfolio.loss . portfolio.model . portfolio.optimization-package . portfolio.weights . print.portfolio.model . sp100w17 . sp100w17av . sp100w17av30s . upper.bound . 
Some associated R codes: active.extension.R . alpha.R . aux_portfolio.default.R . aux_risk.alias.R . aux_simulate.scenarios.R . datasets.R . linear.constraint.eq.R . linear.constraint.iq.R . long.only.R . lower.bound.R . momentum.R . objective.R . optimal.portfolio.1overN.R . optimal.portfolio.R . optimal.portfolio.expected.shortfall.R . optimal.portfolio.expected.shortfall.long.short.R . optimal.portfolio.mad.R . optimal.portfolio.mad.long.short.R . optimal.portfolio.markowitz.R . optimal.portfolio.momentum.R . optimal.portfolio.reward.R . po.tutorial.R . portfolio.loss.R . portfolio.model.R . portfolio.optimization.R . portfolio.weights.R . print.portfolio.model.R . upper.bound.R .  Full portfolio.optimization package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  
msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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