PortfolioOptim: Small/Large Sample Portfolio Optimization

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

Getting started

Package details

AuthorAndrzej Palczewski [aut, cre], Aleksandra Dabrowska [ctb]
MaintainerAndrzej Palczewski <[email protected]>
LicenseGNU General Public License version 3
Version1.1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("PortfolioOptim")

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PortfolioOptim documentation built on May 2, 2019, 10:21 a.m.