PortfolioAnalysis: Portfolio Optimization Methods

Collection of functions to optimize portfolio weights using quadratic programming. This package includes different functions to compute portfolio weights based on different constraints and methods. For more information see Markowitz, H.M. (1952), <doi:10.2307/2975974>. Analysis of Investments & Management of Portfolios [2012, ISBN:978-8131518748].

Getting started

Package details

AuthorAnurag Agrawal [aut, cre] (<https://orcid.org/0000-0003-2272-8273>)
MaintainerAnurag Agrawal <agrawalanurag1999@gmail.com>
Package repositoryView on CRAN
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PortfolioAnalysis documentation built on Jan. 13, 2021, 3:55 p.m.