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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]
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 May. 2025.
Previous versions and publish date:
No previous versions
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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
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