fPortfolio: Rmetrics - Portfolio Selection and Optimization

Environment for teaching "Financial Engineering and Computational Finance".

Install the latest version of this package by entering the following in R:
AuthorRmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Date of publication2014-10-30 15:54:08
MaintainerTobias Setz <tobias.setz@rmetrics.org>
LicenseGPL (>= 2)

View on CRAN

Man pages

00fPortfolio-package: Portfolio Design, Optimization and Backtesting

a-class-fPFOLIOBACKTEST: Portfolio backtesting specifications

a-class-fPFOLIOCON: Portfolio Constraints Handling

a-class-fPFOLIODATA: Portfolio Data Handling

a-class-fPFOLIOSPEC: Specification of Portfolios

a-class-fPFOLIOVAL: Values of Portfolio Frontiers

a-class-fPORTFOLIO: Portfolio Class

backtest-constructors: Specification of backtesting portfolios

backtest-extractors: Portfolio backtest specification extractors

backtest-functions: User defined functions to perform portfolio backtesting

backtest-getMethods: Portfolio Backtest Extractors

backtest-performance: Portfolio backtesting net performance

backtest-plots: Portfolio backtesting plots

backtest-portfolios: Portfolio backtesting

backtest-specification: Specification of portfolio backtesting

backtest-statisitics: Rolling portfolio backtesting statistics

data-sets: Assets Data Sets

frontier-Plot: Efficient Frontier Plot

frontier-PlotControl: Frontier Plot Control List

frontier-Points: Get Frontier Points

mathprog-LP: Mathematical Linear Programming

mathprog-NLP: Mathematical Non-Linear Programming

mathprog-QP: Mathematical Linear Programming

methods-plot: plot-methods

methods-show: Portfolio Print Methods

methods-summary: summary-methods

monitor-stability: Monitoring Stability

portfolio-Constraints: Portfolio Constraints

portfolio-covEstimator: Covariance Estimators

portfolio-Data: portfolioData2

portfolio-efficientPfolio: Efficient Portfolios

portfolio-feasiblePfolio: Feasible Portfolios

portfolio-Frontier: Efficient Portfolio Frontier

portfolio-getData: Portfolio Data Extractor Functions

portfolio-getDefault: Extractor Functions

portfolio-getPortfolio: Portfolio Class Extractors

portfolio-getSpec: Portfolio Specification Extractor Functions

portfolio-getVal: PortfolioVal Extractor Functions

portfolio-pfolioRisk: portfolioRisk

portfolio-portfolioSpec: Specification of Portfolios

portfolio-riskPfolio: Risk and Related Measures for Portfolios

portfolio-Rolling: Rolling Portfolio

portfolio-setSpec: Settings for Specifications of Portfolios

risk-budgeting: Risk Budgeting

risk-surfaceRisk: Surface Risk Analytics

risk-ternaryMap: Creates and Plots a Ternary Map

solve-environment: Nonlinear Objective Presettings

solver-ampl: AMPL Interface

solver-rfamily: LP, QP, and NLP Programming Solvers

utils-methods: Print Method for Solvers

weights-barPlots: Portfolio Weights Bar Plots

weights-linePlots: Portfolio Weights Line Plots

weights-piePlots: Portfolio Pie Plots

weights-Slider: Portfolio Weights Slider


addRainbow Man page
amplDataAdd Man page
amplDataAddMatrix Man page
amplDataAddValue Man page
amplDataAddVector Man page
amplDataOpen Man page
amplDataSemicolon Man page
amplDataShow Man page
amplLP Man page
amplLPControl Man page
amplModelAdd Man page
amplModelOpen Man page
amplModelShow Man page
amplNLP Man page
amplNLPControl Man page
amplOutShow Man page
amplQP Man page
amplQPControl Man page
amplRunAdd Man page
amplRunOpen Man page
amplRunShow Man page
backtestAssetsPlot Man page
backtestDrawdownPlot Man page
backtestPlot Man page
backtestPortfolioPlot Man page
backtestRebalancePlot Man page
backtestReportPlot Man page
backtestStats Man page
backtestWeightsPlot Man page
bcpAnalytics Man page
bestDiversification Man page
budgetsModifiedES Man page
budgetsModifiedVAR Man page
budgetsNormalES Man page
budgetsNormalVAR Man page
budgetsSampleCOV Man page
class-fPFOLIOBACKTEST Man page
class-fPFOLIOCON Man page
class-fPFOLIODATA Man page
class-fPFOLIOSPEC Man page
class-fPFOLIOVAL Man page
class-fPORTFOLIO Man page
cmlLines Man page
cmlPoints Man page
covEstimator Man page
covMcdEstimator Man page
covOGKEstimator Man page
covRisk Man page
covRiskBudgetsLinePlot Man page
covRiskBudgetsPie Man page
covRiskBudgetsPlot Man page
cvarRisk Man page
Data Man page
dataSets Man page
donlp2NLP Man page
donlp2NLPControl Man page
drawdownsAnalytics Man page
ECON85 Man page
ECON85LONG Man page
efficientPortfolio Man page
emaSmoother Man page
eqsumWConstraints Man page
equalWeightsPoints Man page
equidistWindows Man page
feasibleGrid Man page
feasiblePortfolio Man page
fPFOLIOBACKTEST-class Man page
fPFOLIOCON-class Man page
fPFOLIODATA-class Man page
fPFOLIOSPEC-class Man page
fPFOLIOVAL-class Man page
fPortfolio Man page
fPORTFOLIO-class Man page
frontierPlot Man page
frontierPlotControl Man page
frontierPoints Man page
garchAnalytics Man page
getA Man page
getA.fPFOLIOSPEC Man page
getA.fPORTFOLIO Man page
getAlpha Man page
getAlpha.fPFOLIOSPEC Man page
getAlpha.fPFOLIOVAL Man page
getAlpha.fPORTFOLIO Man page
getConstraints Man page
getConstraints.fPORTFOLIO Man page
getConstraintsTypes Man page
getControl Man page
getControl.fPFOLIOSPEC Man page
getControl.fPORTFOLIO Man page
getCov Man page
getCov.fPFOLIODATA Man page
getCov.fPORTFOLIO Man page
getCovRiskBudgets Man page
getCovRiskBudgets.fPFOLIOVAL Man page
getCovRiskBudgets.fPORTFOLIO Man page
getData Man page
getData.fPFOLIODATA Man page
getData.fPORTFOLIO Man page
getDefault Man page
getEstimator Man page
getEstimator.fPFOLIODATA Man page
getEstimator.fPFOLIOSPEC Man page
getEstimator.fPORTFOLIO Man page
getMean Man page
getMean.fPFOLIODATA Man page
getMean.fPORTFOLIO Man page
getMessages Man page
getMessages.fPFOLIOBACKTEST Man page
getMessages.fPFOLIOSPEC Man page
getModel Man page
getModel.fPFOLIOSPEC Man page
getModel.fPORTFOLIO Man page
getMu Man page
getMu.fPFOLIODATA Man page
getMu.fPORTFOLIO Man page
getNAssets Man page
getNAssets.fPFOLIODATA Man page
getNAssets.fPORTFOLIO Man page
getNFrontierPoints Man page
getNFrontierPoints.fPFOLIOSPEC Man page
getNFrontierPoints.fPFOLIOVAL Man page
getNFrontierPoints.fPORTFOLIO Man page
getObjective Man page
getObjective.fPFOLIOSPEC Man page
getObjective.fPORTFOLIO Man page
getOptim Man page
getOptim.fPFOLIOSPEC Man page
getOptim.fPORTFOLIO Man page
getOptimize Man page
getOptimize.fPFOLIOSPEC Man page
getOptimize.fPORTFOLIO Man page
getOptions Man page
getOptions.fPFOLIOSPEC Man page
getOptions.fPORTFOLIO Man page
getParams Man page
getParams.fPFOLIOSPEC Man page
getParams.fPORTFOLIO Man page
getPortfolio Man page
getPortfolio.fPFOLIOSPEC Man page
getPortfolio.fPFOLIOVAL Man page
getPortfolio.fPORTFOLIO Man page
getRiskFreeRate Man page
getRiskFreeRate.fPFOLIOSPEC Man page
getRiskFreeRate.fPFOLIOVAL Man page
getRiskFreeRate.fPORTFOLIO Man page
getSeries Man page
getSeries.fPFOLIODATA Man page
getSeries.fPORTFOLIO Man page
getSigma Man page
getSigma.fPFOLIODATA Man page
getSigma.fPORTFOLIO Man page
getSmoother Man page
getSmootherDoubleSmoothing Man page
getSmootherDoubleSmoothing.fPFOLIOBACKTEST Man page
getSmoother.fPFOLIOBACKTEST Man page
getSmootherFun Man page
getSmootherFun.fPFOLIOBACKTEST Man page
getSmootherInitialWeights Man page
getSmootherInitialWeights.fPFOLIOBACKTEST Man page
getSmootherLambda Man page
getSmootherLambda.fPFOLIOBACKTEST Man page
getSmootherParams Man page
getSmootherParams.fPFOLIOBACKTEST Man page
getSmootherSkip Man page
getSmootherSkip.fPFOLIOBACKTEST Man page
getSolver Man page
getSolver.fPFOLIOSPEC Man page
getSolver.fPORTFOLIO Man page
getSpec Man page
getSpec.fPORTFOLIO Man page
getStatistics Man page
getStatistics.fPFOLIODATA Man page
getStatistics.fPORTFOLIO Man page
getStatus Man page
getStatus.fPFOLIOSPEC Man page
getStatus.fPFOLIOVAL Man page
getStatus.fPORTFOLIO Man page
getStrategy Man page
getStrategy.fPFOLIOBACKTEST Man page
getStrategyFun Man page
getStrategyFun.fPFOLIOBACKTEST Man page
getStrategyParams Man page
getStrategyParams.fPFOLIOBACKTEST Man page
getTailRisk Man page
getTailRiskBudgets Man page
getTailRiskBudgets.fPORTFOLIO Man page
getTailRisk.fPFOLIODATA Man page
getTailRisk.fPFOLIOSPEC Man page
getTailRisk.fPORTFOLIO Man page
getTargetReturn Man page
getTargetReturn.fPFOLIOSPEC Man page
getTargetReturn.fPFOLIOVAL Man page
getTargetReturn.fPORTFOLIO Man page
getTargetRisk Man page
getTargetRisk.fPFOLIOSPEC Man page
getTargetRisk.fPFOLIOVAL Man page
getTargetRisk.fPORTFOLIO Man page
getTrace Man page
getTrace.fPFOLIOSPEC Man page
getTrace.fPORTFOLIO Man page
getType Man page
getType.fPFOLIOSPEC Man page
getType.fPORTFOLIO Man page
getUnits Man page
getUnits.fPFOLIODATA Man page
getUnits.fPORTFOLIO Man page
getWeights Man page
getWeights.fPFOLIOSPEC Man page
getWeights.fPFOLIOVAL Man page
getWeights.fPORTFOLIO Man page
getWindows Man page
getWindows.fPFOLIOBACKTEST Man page
getWindowsFun Man page
getWindowsFun.fPFOLIOBACKTEST Man page
getWindowsHorizon Man page
getWindowsHorizon.fPFOLIOBACKTEST Man page
getWindowsParams Man page
getWindowsParams.fPFOLIOBACKTEST Man page
glpkLP Man page
glpkLPControl Man page
ipopQP Man page
ipopQPControl Man page
kendallEstimator Man page
kestrelQP Man page
kestrelQPControl Man page
lambdaCVaR Man page
listFConstraints Man page
lpmEstimator Man page
LPP2005 Man page
LPP2005.RET Man page
LPP2005.RET.DF Man page
markowitzHull Man page
maxBConstraints Man page
maxBuyinConstraints Man page
maxCardConstraints Man page
maxddMap Man page
maxFConstraints Man page
maxratioPortfolio Man page
maxReturn Man page
maxreturnPortfolio Man page
maxsumWConstraints Man page
maxWConstraints Man page
mcdEstimator Man page
minBConstraints Man page
minBuyinConstraints Man page
minCardConstraints Man page
minFConstraints Man page
minRisk Man page
minriskPortfolio Man page
minsumWConstraints Man page
minvariancePoints Man page
minvariancePortfolio Man page
minWConstraints Man page
modifiedVaR Man page
monteCarloPoints Man page
mveEstimator Man page
nCardConstraints Man page
neosLP Man page
neosLPControl Man page
neosQP Man page
neosQPControl Man page
netPerformance Man page
nlminb2NLP Man page
nlminb2NLPControl Man page
nnveEstimator Man page
normalVaR Man page
parAnalytics Man page
pcoutAnalytics Man page
pfolioCVaR Man page
pfolioCVaRplus Man page
pfolioHist Man page
pfolioMaxLoss Man page
pfolioReturn Man page
pfolioRisk Man page
pfolioSigma Man page
pfolioTargetReturn Man page
pfolioTargetRisk Man page
pfolioVaR Man page
plot.fPORTFOLIO Man page
plot-methods Man page
portfolioBacktest Man page
portfolioBacktesting Man page
portfolioConstraints Man page
portfolioData Man page
portfolioData2 Man page
portfolioFrontier Man page
portfolioObjective Man page
portfolioReturn Man page
portfolioRisk Man page
portfolioRolling Man page
portfolioSmoothing Man page
portfolioSpec Man page
print.solver Man page
quadprogQP Man page
quadprogQPControl Man page
ramplLP Man page
ramplNLP Man page
ramplQP Man page
rdonlp2 Man page
rdonlp2NLP Man page
rglpkLP Man page
ripopQP Man page
riskBudgetsPlot Man page
riskMap Man page
riskmetricsAnalytics Man page
riskPfolio Man page
riskSurface Man page
rkestrelQP Man page
rneosLP Man page
rneosQP Man page
rnlminb2 Man page
rnlminb2NLP Man page
rollingCDaR Man page
rollingCmlPortfolio Man page
rollingCVaR Man page
rollingDaR Man page
rollingMinvariancePortfolio Man page
rollingPortfolio Man page
rollingPortfolioFrontier Man page
rollingRiskBudgets Man page
rollingSigma Man page
rollingTangencyPortfolio Man page
rollingVaR Man page
rollingWindows Man page
rquadprog Man page
rquadprogQP Man page
rsolnp Man page
rsolnpNLP Man page
rsolveLP Man page
rsolveQP Man page
rsymphonyLP Man page
sampleCOV Man page
sampleVaR Man page
setAlpha<- Man page
setBacktest Man page
setEstimator<- Man page
setNFrontierPoints<- Man page
setObjective<- Man page
setOptimize<- Man page
setParams<- Man page
setRiskFreeRate<- Man page
setSmootherDoubleSmoothing<- Man page
setSmootherFun<- Man page
setSmootherInitialWeights<- Man page
setSmootherLambda<- Man page
setSmootherParams<- Man page
setSmootherSkip<- Man page
setSolver<- Man page
setSpec Man page
setStatus<- Man page
setStrategyFun<- Man page
setStrategyParams<- Man page
setTailRisk<- Man page
setTargetReturn<- Man page
setTargetRisk<- Man page
setTrace<- Man page
setType<- Man page
setWeights<- Man page
setWindowsFun<- Man page
setWindowsHorizon<- Man page
setWindowsParams<- Man page
sharpeRatioLines Man page
show,fPFOLIOBACKTEST-method Man page
show,fPFOLIOCON-method Man page
show,fPFOLIODATA-method Man page
show,fPFOLIOSPEC-method Man page
show,fPFOLIOVAL-method Man page
show,fPORTFOLIO-method Man page
show-methods Man page
shrinkEstimator Man page
singleAssetPoints Man page
slpmEstimator Man page
solnpNLP Man page
solnpNLPControl Man page
solveRampl.CVAR Man page
solveRampl.MV Man page
solveRdonlp2 Man page
solveRglpk.CVAR Man page
solveRglpk.MAD Man page
solveRipop Man page
solveRquadprog Man page
solveRquadprog.CLA Man page
solveRshortExact Man page
solveRsocp Man page
solveRsolnp Man page
spearmanEstimator Man page
stabilityAnalytics Man page
summary.fPORTFOLIO Man page
summary-methods Man page
surfacePlot Man page
SWX Man page
SWX.DF Man page
SWX.RET Man page
symphonyLP Man page
symphonyLPControl Man page
tailoredFrontierPlot Man page
tailRiskBudgetsLinePlot Man page
tailRiskBudgetsPie Man page
tailRiskBudgetsPlot Man page
tangencyLines Man page
tangencyPoints Man page
tangencyPortfolio Man page
tangencyStrategy Man page
ternaryCoord Man page
ternaryFrontier Man page
ternaryMap Man page
ternaryPoints Man page
ternaryWeights Man page
turnsAnalytics Man page
twoAssetsLines Man page
varRisk Man page
waveletSpectrum Man page
weightedReturnsLinePlot Man page
weightedReturnsPie Man page
weightedReturnsPlot Man page
weightsLinePlot Man page
weightsPie Man page
weightsPlot Man page
weightsSlider Man page


R/solve-Ripop.R R/frontier-getPoints.R R/object-portfolioSpec.R R/frontier-weightPlots.R R/mathprogQP-ampl.R R/mathprogLP-glpk.R R/plot-weightsPlots.R R/risk-ternaryMap.R R/methods-mathprog.R R/solve-Rampl.R R/a-class-fPFOLIOBACKTEST.R R/mathprogQP-neos.R R/mathprogNLP-solnp.R R/solve-Rsolnp.R R/solve-RquadprogCLA.R R/portfolio-efficientPfolio.R R/mathprogNLP-ampl.R R/frontier-portfolioPlots.R R/mathprogLP-symphony.R R/portfolio-rollingPfolio.R R/a-class-fPFOLIOCON.R R/backtest-pfolioBacktestSpec.R R/portfolio-feasiblePfolio.R R/portfolio-riskPfolio.R R/backtest-methodsShow.R R/object-setSpec.R R/utils-amplInterface.R R/risk-pfolioMeasures.R R/monitor-stability.R R/backtest-getBacktestSpec.R R/backtest-pfolioBacktesting.R R/methods-plot.R R/risk-tailBudgets.R R/plot-vaniniFig.R R/backtest-rollingStats.R R/object-portfolioData.R R/object-getPortfolioVal.R R/a-class-fPFOLIOVAL.R R/backtest-defaultFunctions.R R/solve-RglpkMAD.R R/utils-amplExtractors.R R/utils-exampleData.R R/object-getSpec.R R/backtest-netPerformance.R R/mathprogQP.R R/mathprogNLP-donlp2.R R/object-getUseMethods.R R/utils-amplLibrary.R R/object-getData.R R/methods-summary.R R/mathprogQP-quadprog.R R/plot-weightsLines.R R/object-portfolioConstraints.R R/utils-amplExec.R R/plot-weightsSlider.R R/solve-RtwoAssets.R R/mathprogLP-ampl.R R/a-class-fPFOLIOSPEC.R R/methods-show.R R/solve-environment.R R/risk-covEstimator.R R/mathprogQP-ipop.R R/utils-methods.R R/mathprogLP.R R/a-class-fPORTFOLIO.R R/a-class-fPFOLIODATA.R R/risk-budgeting.R R/mathprogLP-neos.R R/mathprogNLP.R R/solve-Rquadprog.R R/utils-specs.R R/utils-NLPgeneral.R R/solve-Rdonlp2.R R/solve-RshortExact.R R/risk-surfaceRisk.R R/backtest-setBacktestSpec.R R/mathprogQP-kestrel.R R/mathprogNLP-nlminb2.R R/portfolio-efficientFrontier.R R/backtest-getMethods.R R/monitor-indicators.R R/solve-Rsocp.R R/zzz.R R/backtest-Plots.R R/object-getPortfolio.R R/solve-RglpkVAR.R R/plot-weightsPies.R R/00RmetricsPortfolio-package.R
man/methods-show.Rd man/portfolio-pfolioRisk.Rd man/solve-environment.Rd man/weights-Slider.Rd man/mathprog-NLP.Rd man/portfolio-feasiblePfolio.Rd man/frontier-Plot.Rd man/portfolio-getSpec.Rd man/methods-summary.Rd man/portfolio-Rolling.Rd man/a-class-fPFOLIOSPEC.Rd man/portfolio-getDefault.Rd man/portfolio-setSpec.Rd man/frontier-Points.Rd man/risk-budgeting.Rd man/solver-rfamily.Rd man/backtest-plots.Rd man/portfolio-portfolioSpec.Rd man/risk-surfaceRisk.Rd man/methods-plot.Rd man/monitor-stability.Rd man/backtest-constructors.Rd man/risk-ternaryMap.Rd man/backtest-extractors.Rd man/a-class-fPFOLIOCON.Rd man/utils-methods.Rd man/backtest-getMethods.Rd man/a-class-fPFOLIOVAL.Rd man/portfolio-getVal.Rd man/weights-barPlots.Rd man/backtest-specification.Rd man/backtest-portfolios.Rd man/data-sets.Rd man/a-class-fPFOLIOBACKTEST.Rd man/portfolio-Data.Rd man/mathprog-QP.Rd man/portfolio-covEstimator.Rd man/weights-piePlots.Rd man/portfolio-Constraints.Rd man/portfolio-getPortfolio.Rd man/backtest-statisitics.Rd man/solver-ampl.Rd man/portfolio-getData.Rd man/portfolio-Frontier.Rd man/weights-linePlots.Rd man/frontier-PlotControl.Rd man/a-class-fPORTFOLIO.Rd man/00fPortfolio-package.Rd man/mathprog-LP.Rd man/backtest-functions.Rd man/backtest-performance.Rd man/portfolio-efficientPfolio.Rd man/portfolio-riskPfolio.Rd man/a-class-fPFOLIODATA.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.