PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

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Portfolio optimization and analysis routines and graphics.

Author
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Date of publication
2015-04-19 07:38:57
Maintainer
Brian G. Peterson <brian@braverock.com>
License
GPL
Version
1.0.3636

View on CRAN

Man pages

ac.ranking
Asset Ranking
add.constraint
General interface for adding and/or updating optimization...
add.objective
General interface for adding optimization objectives,...
add.sub.portfolio
Add sub-portfolio
applyFUN
Apply a risk or return function to a set of weights
barplotGroupWeights
barplot of group weights by group or category
black.litterman
Black Litterman Estimates
BlackLittermanFormula
Computes the Black-Litterman formula for the moments of the...
box_constraint
constructor for box_constraint.
CCCgarch.MM
compute comoments for use by lower level optimization...
center
Center
centroid.buckets
Buckets Centroid
centroid.complete.mc
Complete Cases Centroid
centroid.sectors
Multiple Sectors Centroid
centroid.sign
Positive and Negative View Centroid
chart.Concentration
Classic risk reward scatter and concentration
chart.EfficientFrontier
Chart the efficient frontier and risk-return scatter
chart.EfficientFrontierOverlay
Plot multiple efficient frontiers
chart.EF.Weights
Chart weights along an efficient frontier
chart.GroupWeights
Chart weights by group or category
chart.RiskBudget
Generic method to chart risk contribution
chart.RiskReward
classic risk reward scatter
chart.Weights
boxplot of the weights of the optimal portfolios
check_constraints
check if a set of weights satisfies the constraints
cokurtosisMF
Cokurtosis Matrix Estimate
cokurtosisSF
Cokurtosis Matrix Estimate
combine.optimizations
Combine objects created by optimize.portfolio
combine.portfolios
Combine a list of portfolio objects
constrained_objective
calculate a numeric return value for a portfolio based on a...
constraint
constructor for class constraint
constraint_ROI
constructor for class constraint_ROI
constraint_v2
constructor for v2 constraint specification
coskewnessMF
Coskewness Matrix Estimate
coskewnessSF
Coskewness Matrix Estimate
covarianceMF
Covariance Matrix Estimate
covarianceSF
Covariance Matrix Estimate
create.EfficientFrontier
create an efficient frontier
diversification
Function to compute diversification as a constraint
diversification_constraint
constructor for diversification_constraint
EntropyProg
Entropy pooling program for blending views on scenarios with...
equal.weight
Create an equal weight portfolio
etl_milp_opt
Minimum ETL MILP Optimization
etl_opt
Minimum ETL LP Optimization
extractCokurtosis
Cokurtosis Estimate
extractCoskewness
Coskewness Estimate
extractCovariance
Covariance Estimate
extractEfficientFrontier
Extract the efficient frontier data points
extractGroups
Extract the group and/or category weights
extractObjectiveMeasures
Extract the objective measures
extractStats
extract some stats and weights from a portfolio run via...
extractWeights
Extract weights from a portfolio run via 'optimize.portfolio'...
factor_exposure_constraint
Constructor for factor exposure constraint
fn_map
mapping function to transform or penalize weights that...
generatesequence
create a sequence of possible weights for random or brute...
get_constraints
Helper function to get the enabled constraints out of the...
gmv_opt
GMV/QU QP Optimization
gmv_opt_leverage
GMV/QU QP Optimization with Turnover Constraint
gmv_opt_ptc
GMV/QU QP Optimization with Proportional Transaction Cost...
gmv_opt_toc
GMV/QU QP Optimization with Turnover Constraint
group_constraint
constructor for group_constraint
group_fail
Test if group constraints have been violated
HHI
Concentration of weights
indexes
Six Major Economic Indexes
insert_constraints
Insert a list of constraints into the constraints slot of a...
insert_objectives
Insert a list of objectives into the objectives slot of a...
inverse.volatility.weight
Create an inverse volatility weighted portfolio
is.constraint
check function for constraints
is.objective
check class of an objective object
is.portfolio
check function for portfolio
leverage_exposure_constraint
constructor for leverage_exposure_constraint
maxret_milp_opt
Maximum Return MILP Optimization
maxret_opt
Maximum Return LP Optimization
meanetl.efficient.frontier
Generate the efficient frontier for a mean-etl portfolio
meanvar.efficient.frontier
Generate the efficient frontier for a mean-variance portfolio
meucci.moments
Compute moments
meucci.ranking
Asset Ranking
minmax_objective
constructor for class tmp_minmax_objective
mult.portfolio.spec
Multple Layer Portfolio Specification
name.replace
utility function to replace awkward named from unlist
objective
constructor for class 'objective'
optimize.portfolio
Constrained optimization of portfolios
optimize.portfolio.parallel
Execute multiple optimize.portfolio calls, presumably in...
optimize.portfolio.rebalancing
Portfolio Optimization with Rebalancing Periods
plot
plot method for objects of class 'optimize.portfolio'
PortfolioAnalytics-package
Numeric methods for optimization of portfolios
portfolio.moments.bl
Portfolio Moments
portfolio.moments.boudt
Portfolio Moments
portfolio_risk_objective
constructor for class portfolio_risk_objective
portfolio.spec
constructor for class portfolio
position_limit_constraint
constructor for position_limit_constraint
pos_limit_fail
function to check for violation of position limits...
print.constraint
print method for constraint objects
print.efficient.frontier
Print an efficient frontier object
print.optimize.portfolio
Printing output of optimize.portfolio
print.optimize.portfolio.rebalancing
Printing output of optimize.portfolio.rebalancing
print.portfolio
Printing Portfolio Specification Objects
print.summary.optimize.portfolio
Printing summary output of optimize.portfolio
print.summary.optimize.portfolio.rebalancing
Printing summary output of optimize.portfolio.rebalancing
quadratic_utility_objective
constructor for quadratic utility objective
randomize_portfolio
version 2 generate random permutations of a portfolio seed...
randomize_portfolio_v1
Random portfolio sample method
random_portfolios
version 2 generate an arbitary number of constrained random...
random_portfolios_v1
generate an arbitary number of constrained random portfolios
random_walk_portfolios
deprecated random portfolios wrapper until we write a random...
regime.portfolios
Regime Portfolios
return_constraint
constructor for return_constraint
return_objective
constructor for class return_objective
risk_budget_objective
constructor for class risk_budget_objective
rp_grid
Generate random portfolios based on grid search method
rp_sample
Generate random portfolios using the sample method
rp_simplex
Generate random portfolios using the simplex method
rp_transform
Transform a weights vector to satisfy constraints
scatterFUN
Apply a risk or return function to asset returns
set.portfolio.moments
Portfolio Moments
set.portfolio.moments_v1
set portfolio moments for use by lower level optimization...
statistical.factor.model
Statistical Factor Model
summary.efficient.frontier
Summarize an efficient frontier object
summary.optimize.portfolio
Summarizing output of optimize.portfolio
summary.optimize.portfolio.rebalancing
summary method for optimize.portfolio.rebalancing
summary.portfolio
Summarize Portfolio Specification Objects
trailingFUN
apply a function over a configurable trailing period
transaction_cost_constraint
constructor for transaction_cost_constraint
turnover
Calculates turnover given two vectors of weights. This is...
turnover_constraint
constructor for turnover_constraint
turnover_objective
constructor for class turnover_objective
update.constraint
function for updating constrints, not well tested, may be...
update_constraint_v1tov2
Helper function to update v1_constraint objects to v2...
var.portfolio
Calculate portfolio variance
weight_concentration_objective
Constructor for weight concentration objective
weight_sum_constraint
constructor for weight_sum_constraint

Files in this package

PortfolioAnalytics
PortfolioAnalytics/inst
PortfolioAnalytics/inst/tests
PortfolioAnalytics/inst/tests/test_glpk_maxMean.R
PortfolioAnalytics/inst/tests/test_qp_gmv.R
PortfolioAnalytics/inst/tests/test_qp_qu.R
PortfolioAnalytics/inst/tests/test_rp_sample.R
PortfolioAnalytics/inst/tests/test_max_Sharpe.R
PortfolioAnalytics/inst/tests/test_objectives.R
PortfolioAnalytics/inst/tests/test_demo_leverage.R
PortfolioAnalytics/inst/tests/test_all_constraints.R
PortfolioAnalytics/inst/tests/test_demo_max_qu.R
PortfolioAnalytics/inst/tests/test_demo_min_expected_shortfall.R
PortfolioAnalytics/inst/tests/test_glpk_minES.R
PortfolioAnalytics/inst/tests/test_backwards_compat.R
PortfolioAnalytics/inst/tests/test_demo_min_StdDev.R
PortfolioAnalytics/inst/tests/test_roi_min_etl_milp.R
PortfolioAnalytics/inst/tests/test_demo_return_target.R
PortfolioAnalytics/inst/tests/test_roi_max_ret_milp.R
PortfolioAnalytics/inst/tests/test_demo_max_STARR.R
PortfolioAnalytics/inst/tests/test_demo_weight_concentration.R
PortfolioAnalytics/inst/tests/test_demo_efficient_frontier.R
PortfolioAnalytics/inst/tests/test_demo_max_return.R
PortfolioAnalytics/inst/tests/test_demo_group_constraints.R
PortfolioAnalytics/inst/tests/test_roi_gmv_toc.R
PortfolioAnalytics/inst/tests/test_demo_risk_budgets.R
PortfolioAnalytics/inst/doc
PortfolioAnalytics/inst/doc/portfolio_vignette.Rnw
PortfolioAnalytics/inst/doc/ROI_vignette.R
PortfolioAnalytics/inst/doc/custom_moments_objectives.pdf
PortfolioAnalytics/inst/doc/ROI_vignette.Rnw
PortfolioAnalytics/inst/doc/portfolio_vignette.pdf
PortfolioAnalytics/inst/doc/risk_budget_optimization.R
PortfolioAnalytics/inst/doc/risk_budget_optimization.Rnw
PortfolioAnalytics/inst/doc/portfolio_vignette.R
PortfolioAnalytics/inst/doc/ROI_vignette.pdf
PortfolioAnalytics/inst/doc/DesignThoughts.Rnw
PortfolioAnalytics/inst/doc/risk_budget_optimization.pdf
PortfolioAnalytics/inst/doc/DesignThoughts.pdf
PortfolioAnalytics/inst/doc/custom_moments_objectives.Rnw
PortfolioAnalytics/inst/doc/custom_moments_objectives.R
PortfolioAnalytics/tests
PortfolioAnalytics/tests/run-all.R
PortfolioAnalytics/src
PortfolioAnalytics/src/residualcokurtosisMF.c
PortfolioAnalytics/src/residualcokurtosisSF.c
PortfolioAnalytics/NAMESPACE
PortfolioAnalytics/demo
PortfolioAnalytics/demo/demo_weight_concentration.R
PortfolioAnalytics/demo/testing_pso.R
PortfolioAnalytics/demo/demo_risk_budgets.R
PortfolioAnalytics/demo/demo_max_return.R
PortfolioAnalytics/demo/demo_min_expected_shortfall.R
PortfolioAnalytics/demo/demo_max_Sharpe.R
PortfolioAnalytics/demo/demo_opt_combine.R
PortfolioAnalytics/demo/chart_concentration.R
PortfolioAnalytics/demo/demo_max_STARR.R
PortfolioAnalytics/demo/higher_moments_boudt.R
PortfolioAnalytics/demo/multiple_portfolio_optimization.R
PortfolioAnalytics/demo/demo_roi_solvers.R
PortfolioAnalytics/demo/demo_factor_exposure.R
PortfolioAnalytics/demo/multi_layer_optimization.R
PortfolioAnalytics/demo/demo_min_StdDev.R
PortfolioAnalytics/demo/demo_random_portfolios.R
PortfolioAnalytics/demo/00Index
PortfolioAnalytics/demo/testing_GenSA.R
PortfolioAnalytics/demo/meucci_ffv.R
PortfolioAnalytics/demo/constrained_optim.R
PortfolioAnalytics/demo/demo_max_quadratic_utility.R
PortfolioAnalytics/demo/demo_group_constraints.R
PortfolioAnalytics/demo/demo_proportional_cost.R
PortfolioAnalytics/demo/demo_efficient_frontier.R
PortfolioAnalytics/demo/demo_DEoptim.R
PortfolioAnalytics/demo/backwards_compat.R
PortfolioAnalytics/demo/relative_ranking.R
PortfolioAnalytics/demo/sortino.R
PortfolioAnalytics/demo/testing_ROI.R
PortfolioAnalytics/demo/demo_return_target.R
PortfolioAnalytics/demo/demo_leverage_exposure_constraint.R
PortfolioAnalytics/demo/regime_switching.R
PortfolioAnalytics/data
PortfolioAnalytics/data/indexes.csv.gz
PortfolioAnalytics/data/indexes.rda
PortfolioAnalytics/R
PortfolioAnalytics/R/stat.factor.model.R
PortfolioAnalytics/R/charts.PSO.R
PortfolioAnalytics/R/utils.R
PortfolioAnalytics/R/extract.efficient.frontier.R
PortfolioAnalytics/R/utility.combine.R
PortfolioAnalytics/R/charts.RP.R
PortfolioAnalytics/R/moment.functions.R
PortfolioAnalytics/R/ac_ranking.R
PortfolioAnalytics/R/applyFUN.R
PortfolioAnalytics/R/chart.concentration.R
PortfolioAnalytics/R/charts.multiple.R
PortfolioAnalytics/R/chart.RiskReward.R
PortfolioAnalytics/R/charts.groups.R
PortfolioAnalytics/R/inverse.volatility.weight.R
PortfolioAnalytics/R/objective.R
PortfolioAnalytics/R/random_portfolios.R
PortfolioAnalytics/R/charts.ROI.R
PortfolioAnalytics/R/portfolio.R
PortfolioAnalytics/R/generics.R
PortfolioAnalytics/R/charts.risk.R
PortfolioAnalytics/R/objectiveFUN.R
PortfolioAnalytics/R/charts.efficient.frontier.R
PortfolioAnalytics/R/constraint_fn_map.R
PortfolioAnalytics/R/optimize.portfolio.R
PortfolioAnalytics/R/black_litterman.R
PortfolioAnalytics/R/optFUN.R
PortfolioAnalytics/R/extractstats.R
PortfolioAnalytics/R/EntropyProg.R
PortfolioAnalytics/R/chart.Weights.R
PortfolioAnalytics/R/constraints_ROI.R
PortfolioAnalytics/R/constrained_objective.R
PortfolioAnalytics/R/trailingFUN.R
PortfolioAnalytics/R/meucci_ranking.R
PortfolioAnalytics/R/charts.GenSA.R
PortfolioAnalytics/R/meucci_moments.R
PortfolioAnalytics/R/charts.DE.R
PortfolioAnalytics/R/constraintsFUN.R
PortfolioAnalytics/R/constraints.R
PortfolioAnalytics/R/mult.layer.portfolio.R
PortfolioAnalytics/R/zzz.R
PortfolioAnalytics/R/equal.weight.R
PortfolioAnalytics/vignettes
PortfolioAnalytics/vignettes/portfolio_vignette.Rnw
PortfolioAnalytics/vignettes/ROI_vignette.Rnw
PortfolioAnalytics/vignettes/chicago.bst
PortfolioAnalytics/vignettes/PA.bib
PortfolioAnalytics/vignettes/risk_budget_optimization.Rnw
PortfolioAnalytics/vignettes/DesignThoughts.Rnw
PortfolioAnalytics/vignettes/custom_moments_objectives.Rnw
PortfolioAnalytics/MD5
PortfolioAnalytics/README
PortfolioAnalytics/build
PortfolioAnalytics/build/vignette.rds
PortfolioAnalytics/DESCRIPTION
PortfolioAnalytics/man
PortfolioAnalytics/man/meucci.ranking.Rd
PortfolioAnalytics/man/extractCokurtosis.Rd
PortfolioAnalytics/man/print.summary.optimize.portfolio.Rd
PortfolioAnalytics/man/summary.portfolio.Rd
PortfolioAnalytics/man/print.portfolio.Rd
PortfolioAnalytics/man/centroid.sectors.Rd
PortfolioAnalytics/man/regime.portfolios.Rd
PortfolioAnalytics/man/etl_opt.Rd
PortfolioAnalytics/man/gmv_opt_leverage.Rd
PortfolioAnalytics/man/random_portfolios.Rd
PortfolioAnalytics/man/CCCgarch.MM.Rd
PortfolioAnalytics/man/rp_sample.Rd
PortfolioAnalytics/man/cokurtosisMF.Rd
PortfolioAnalytics/man/extractWeights.Rd
PortfolioAnalytics/man/maxret_opt.Rd
PortfolioAnalytics/man/mult.portfolio.spec.Rd
PortfolioAnalytics/man/extractCoskewness.Rd
PortfolioAnalytics/man/summary.optimize.portfolio.rebalancing.Rd
PortfolioAnalytics/man/update_constraint_v1tov2.Rd
PortfolioAnalytics/man/etl_milp_opt.Rd
PortfolioAnalytics/man/gmv_opt_ptc.Rd
PortfolioAnalytics/man/portfolio.moments.bl.Rd
PortfolioAnalytics/man/diversification.Rd
PortfolioAnalytics/man/coskewnessMF.Rd
PortfolioAnalytics/man/BlackLittermanFormula.Rd
PortfolioAnalytics/man/transaction_cost_constraint.Rd
PortfolioAnalytics/man/group_constraint.Rd
PortfolioAnalytics/man/chart.RiskBudget.Rd
PortfolioAnalytics/man/covarianceSF.Rd
PortfolioAnalytics/man/quadratic_utility_objective.Rd
PortfolioAnalytics/man/extractStats.Rd
PortfolioAnalytics/man/return_objective.Rd
PortfolioAnalytics/man/PortfolioAnalytics-package.Rd
PortfolioAnalytics/man/turnover_objective.Rd
PortfolioAnalytics/man/cokurtosisSF.Rd
PortfolioAnalytics/man/summary.efficient.frontier.Rd
PortfolioAnalytics/man/randomize_portfolio_v1.Rd
PortfolioAnalytics/man/add.sub.portfolio.Rd
PortfolioAnalytics/man/is.constraint.Rd
PortfolioAnalytics/man/check_constraints.Rd
PortfolioAnalytics/man/portfolio.moments.boudt.Rd
PortfolioAnalytics/man/update.constraint.Rd
PortfolioAnalytics/man/center.Rd
PortfolioAnalytics/man/print.summary.optimize.portfolio.rebalancing.Rd
PortfolioAnalytics/man/gmv_opt.Rd
PortfolioAnalytics/man/var.portfolio.Rd
PortfolioAnalytics/man/constraint.Rd
PortfolioAnalytics/man/optimize.portfolio.rebalancing.Rd
PortfolioAnalytics/man/create.EfficientFrontier.Rd
PortfolioAnalytics/man/scatterFUN.Rd
PortfolioAnalytics/man/rp_transform.Rd
PortfolioAnalytics/man/extractEfficientFrontier.Rd
PortfolioAnalytics/man/objective.Rd
PortfolioAnalytics/man/statistical.factor.model.Rd
PortfolioAnalytics/man/trailingFUN.Rd
PortfolioAnalytics/man/print.efficient.frontier.Rd
PortfolioAnalytics/man/diversification_constraint.Rd
PortfolioAnalytics/man/rp_simplex.Rd
PortfolioAnalytics/man/maxret_milp_opt.Rd
PortfolioAnalytics/man/portfolio_risk_objective.Rd
PortfolioAnalytics/man/meanetl.efficient.frontier.Rd
PortfolioAnalytics/man/leverage_exposure_constraint.Rd
PortfolioAnalytics/man/indexes.Rd
PortfolioAnalytics/man/print.optimize.portfolio.rebalancing.Rd
PortfolioAnalytics/man/insert_objectives.Rd
PortfolioAnalytics/man/pos_limit_fail.Rd
PortfolioAnalytics/man/optimize.portfolio.Rd
PortfolioAnalytics/man/centroid.complete.mc.Rd
PortfolioAnalytics/man/get_constraints.Rd
PortfolioAnalytics/man/group_fail.Rd
PortfolioAnalytics/man/set.portfolio.moments_v1.Rd
PortfolioAnalytics/man/generatesequence.Rd
PortfolioAnalytics/man/black.litterman.Rd
PortfolioAnalytics/man/centroid.sign.Rd
PortfolioAnalytics/man/insert_constraints.Rd
PortfolioAnalytics/man/minmax_objective.Rd
PortfolioAnalytics/man/meucci.moments.Rd
PortfolioAnalytics/man/weight_sum_constraint.Rd
PortfolioAnalytics/man/chart.EfficientFrontier.Rd
PortfolioAnalytics/man/EntropyProg.Rd
PortfolioAnalytics/man/add.constraint.Rd
PortfolioAnalytics/man/add.objective.Rd
PortfolioAnalytics/man/meanvar.efficient.frontier.Rd
PortfolioAnalytics/man/inverse.volatility.weight.Rd
PortfolioAnalytics/man/risk_budget_objective.Rd
PortfolioAnalytics/man/print.optimize.portfolio.Rd
PortfolioAnalytics/man/extractCovariance.Rd
PortfolioAnalytics/man/covarianceMF.Rd
PortfolioAnalytics/man/constraint_ROI.Rd
PortfolioAnalytics/man/chart.Concentration.Rd
PortfolioAnalytics/man/summary.optimize.portfolio.Rd
PortfolioAnalytics/man/applyFUN.Rd
PortfolioAnalytics/man/return_constraint.Rd
PortfolioAnalytics/man/combine.portfolios.Rd
PortfolioAnalytics/man/random_portfolios_v1.Rd
PortfolioAnalytics/man/chart.GroupWeights.Rd
PortfolioAnalytics/man/factor_exposure_constraint.Rd
PortfolioAnalytics/man/name.replace.Rd
PortfolioAnalytics/man/rp_grid.Rd
PortfolioAnalytics/man/constraint_v2.Rd
PortfolioAnalytics/man/ac.ranking.Rd
PortfolioAnalytics/man/portfolio.spec.Rd
PortfolioAnalytics/man/chart.EF.Weights.Rd
PortfolioAnalytics/man/position_limit_constraint.Rd
PortfolioAnalytics/man/random_walk_portfolios.Rd
PortfolioAnalytics/man/extractGroups.Rd
PortfolioAnalytics/man/gmv_opt_toc.Rd
PortfolioAnalytics/man/chart.EfficientFrontierOverlay.Rd
PortfolioAnalytics/man/equal.weight.Rd
PortfolioAnalytics/man/turnover_constraint.Rd
PortfolioAnalytics/man/print.constraint.Rd
PortfolioAnalytics/man/extractObjectiveMeasures.Rd
PortfolioAnalytics/man/centroid.buckets.Rd
PortfolioAnalytics/man/set.portfolio.moments.Rd
PortfolioAnalytics/man/randomize_portfolio.Rd
PortfolioAnalytics/man/HHI.Rd
PortfolioAnalytics/man/plot.Rd
PortfolioAnalytics/man/chart.Weights.Rd
PortfolioAnalytics/man/coskewnessSF.Rd
PortfolioAnalytics/man/weight_concentration_objective.Rd
PortfolioAnalytics/man/turnover.Rd
PortfolioAnalytics/man/box_constraint.Rd
PortfolioAnalytics/man/chart.RiskReward.Rd
PortfolioAnalytics/man/combine.optimizations.Rd
PortfolioAnalytics/man/is.objective.Rd
PortfolioAnalytics/man/is.portfolio.Rd
PortfolioAnalytics/man/constrained_objective.Rd
PortfolioAnalytics/man/fn_map.Rd
PortfolioAnalytics/man/optimize.portfolio.parallel.Rd
PortfolioAnalytics/man/barplotGroupWeights.Rd