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

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

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