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) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.
| Version: | 1.0-0 |
| Depends: | R (≥ 3.5), xts, MASS, magrittr, modopt.matlab |
| Published: | 2018-08-24 |
| Author: | Ronald Hochreiter [aut, cre] |
| Maintainer: | Ronald Hochreiter <ron at hochreiter.net> |
| License: | MIT + file LICENSE |
| URL: | http://www.finance-r.com/ |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | portfolio.optimization results |
| Reference manual: | portfolio.optimization.pdf |
| Package source: | portfolio.optimization_1.0-0.tar.gz |
| Windows binaries: | r-devel: portfolio.optimization_1.0-0.zip, r-release: portfolio.optimization_1.0-0.zip, r-oldrel: portfolio.optimization_1.0-0.zip |
| macOS binaries: | r-release: portfolio.optimization_1.0-0.tgz, r-oldrel: portfolio.optimization_1.0-0.tgz |
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