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

Portfolio optimization and analysis routines and graphics.

AuthorBrian 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 publication2015-04-19 07:38:57
MaintainerBrian G. Peterson <brian@braverock.com>
LicenseGPL
Version1.0.3636

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

Functions

ac.ranking Man page
add.constraint Man page
add.objective Man page
add.objective_v1 Man page
add.objective_v2 Man page
add.sub.portfolio Man page
applyFUN Man page
barplotGroupWeights Man page
black.litterman Man page
BlackLittermanFormula Man page
box_constraint Man page
CCCgarch.MM Man page
center Man page
centroid.buckets Man page
centroid.complete.mc Man page
centroid.sectors Man page
centroid.sign Man page
chart.Concentration Man page
chart.EfficientFrontier Man page
chart.EfficientFrontier.efficient.frontier Man page
chart.EfficientFrontier.optimize.portfolio Man page
chart.EfficientFrontier.optimize.portfolio.ROI Man page
chart.EfficientFrontierOverlay Man page
chart.EF.Weights Man page
chart.EF.Weights.efficient.frontier Man page
chart.EF.Weights.optimize.portfolio Man page
chart.GroupWeights Man page
chart.RiskBudget Man page
chart.RiskBudget.optimize.portfolio Man page
chart.RiskBudget.optimize.portfolio.rebalancing Man page
chart.RiskBudget.opt.list Man page
chart.RiskReward Man page
chart.RiskReward.optimize.portfolio.DEoptim Man page
chart.RiskReward.optimize.portfolio.GenSA Man page
chart.RiskReward.optimize.portfolio.pso Man page
chart.RiskReward.optimize.portfolio.random Man page
chart.RiskReward.optimize.portfolio.ROI Man page
chart.RiskReward.opt.list Man page
chart.Weights Man page
chart.Weights.optimize.portfolio.DEoptim Man page
chart.Weights.optimize.portfolio.GenSA Man page
chart.Weights.optimize.portfolio.pso Man page
chart.Weights.optimize.portfolio.random Man page
chart.Weights.optimize.portfolio.rebalancing Man page
chart.Weights.optimize.portfolio.ROI Man page
chart.Weights.opt.list Man page
check_constraints Man page
cokurtosisMF Man page
cokurtosisSF Man page
combine.optimizations Man page
combine.portfolios Man page
constrained_objective Man page
constrained_objective_v1 Man page
constrained_objective_v2 Man page
constraint Man page
constraint_ROI Man page
constraint_v2 Man page
coskewnessMF Man page
coskewnessSF Man page
covarianceMF Man page
covarianceSF Man page
create.EfficientFrontier Man page
diversification Man page
diversification_constraint Man page
EntropyProg Man page
equal.weight Man page
etl_milp_opt Man page
etl_opt Man page
extractCokurtosis Man page
extractCoskewness Man page
extractCovariance Man page
extractEfficientFrontier Man page
extractGroups Man page
extractObjectiveMeasures Man page
extractStats Man page
extractStats.optimize.portfolio.DEoptim Man page
extractStats.optimize.portfolio.GenSA Man page
extractStats.optimize.portfolio.parallel Man page
extractStats.optimize.portfolio.pso Man page
extractStats.optimize.portfolio.random Man page
extractStats.optimize.portfolio.ROI Man page
extractWeights Man page
factor_exposure_constraint Man page
fn_map Man page
generatesequence Man page
get_constraints Man page
gmv_opt Man page
gmv_opt_leverage Man page
gmv_opt_ptc Man page
gmv_opt_toc Man page
group_constraint Man page
group_fail Man page
HHI Man page
indexes Man page
insert_constraints Man page
insert_objectives Man page
inverse.volatility.weight Man page
is.constraint Man page
is.objective Man page
is.portfolio Man page
leverage_exposure_constraint Man page
maxret_milp_opt Man page
maxret_opt Man page
meanetl.efficient.frontier Man page
meanvar.efficient.frontier Man page
meucci.moments Man page
meucci.ranking Man page
minmax_objective Man page
mult.portfolio.spec Man page
name.replace Man page
objective Man page
optimize.portfolio Man page
optimize.portfolio.parallel Man page
optimize.portfolio.rebalancing Man page
optimize.portfolio.rebalancing_v1 Man page
optimize.portfolio_v1 Man page
optimize.portfolio_v2 Man page
plot.optimize.portfolio Man page
plot.optimize.portfolio.DEoptim Man page
plot.optimize.portfolio.GenSA Man page
plot.optimize.portfolio.pso Man page
plot.optimize.portfolio.random Man page
plot.optimize.portfolio.ROI Man page
portfolio Man page
PortfolioAnalytics Man page
PortfolioAnalytics-package Man page
portfolio.moments.bl Man page
portfolio.moments.boudt Man page
portfolio_risk_objective Man page
portfolio.spec Man page
position_limit_constraint Man page
pos_limit_fail Man page
print.constraint Man page
print.efficient.frontier Man page
print.optimize.portfolio.DEoptim Man page
print.optimize.portfolio.GenSA Man page
print.optimize.portfolio.pso Man page
print.optimize.portfolio.random Man page
print.optimize.portfolio.rebalancing Man page
print.optimize.portfolio.ROI Man page
print.portfolio Man page
print.summary.optimize.portfolio Man page
print.summary.optimize.portfolio.rebalancing Man page
quadratic_utility_objective Man page
randomize_portfolio Man page
randomize_portfolio_v1 Man page
randomize_portfolio_v2 Man page
random_portfolios Man page
random_portfolios_v1 Man page
random_portfolios_v2 Man page
random_walk_portfolios Man page
regime.portfolios Man page
return_constraint Man page
return_objective Man page
risk_budget_objective Man page
rp_grid Man page
rp_sample Man page
rp_simplex Man page
rp_transform Man page
scatterFUN Man page
set.portfolio.moments Man page
set.portfolio.moments_v1 Man page
set.portfolio.moments_v2 Man page
statistical.factor.model Man page
summary.efficient.frontier Man page
summary.optimize.portfolio Man page
summary.optimize.portfolio.rebalancing Man page
summary.portfolio Man page
trailingFUN Man page
transaction_cost_constraint Man page
turnover Man page
turnover_constraint Man page
turnover_objective Man page
update.constraint Man page
update_constraint_v1tov2 Man page
var.portfolio Man page
weight_concentration_objective Man page
weight_sum_constraint Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.