API for fPortfolio
Rmetrics - Portfolio Selection and Optimization
| Global functions | |
|---|---|
| .Log | Source code |
| .SqrtMatrix | Source code |
| .addlegend | Source code |
| .alkylationTestNLP | Source code |
| .amplExample | Source code |
| .amplExec | Source code |
| .amplModel | Source code |
| .amplObjval | Source code |
| .amplPresolve | Source code |
| .amplRun | Source code |
| .amplSolution | Source code |
| .amplSolver | Source code |
| .amplVersion | Source code |
| .attributesWheel | Source code |
| .baggedEstimator | Source code |
| .bayesSteinEstimator | Source code |
| .boxTestNLP | Source code |
| .boxmarkowitzTestNLP | Source code |
| .cfgFit | Source code |
| .cfgTDE | Source code |
| .checkSpec | Source code |
| .checkSpecVsConstraints | Source code |
| .checkTargetReturn | Source code |
| .checkWeights | Source code |
| .claRquadprogArguments | Source code |
| .covMcdEstimator2 | Source code |
| .covOGKEstimator2 | Source code |
| .covRisk | Source code |
| .covarRisk | Source code |
| .cvarRglpkArguments | Source code |
| .cvarRisk | Source code |
| .cvarSolveTwoAssets | Source code |
| .dgsgnormCopula | Source code |
| .donostahEstimator | Source code |
| .drawdownsIndicator | Source code |
| .emaIndicator | Source code |
| .empiricalDependencyFit | Source code |
| .entropyTestNLP | Source code |
| .exampleData | Source code |
| .fportfolio.plot.1 | Man page Source code |
| .fportfolio.plot.2 | Man page Source code |
| .fportfolio.plot.3 | Man page Source code |
| .fportfolio.plot.4 | Man page Source code |
| .fportfolio.plot.5 | Man page Source code |
| .fportfolio.plot.6 | Man page Source code |
| .fportfolio.plot.7 | Man page Source code |
| .fportfolio.plot.8 | Man page Source code |
| .getEstimatorFun | Source code |
| .getNames | Source code |
| .ghtDependencyFit | Source code |
| .gldDependencyFit | Source code |
| .groupmarkowitzTestNLP | Source code |
| .gsgnormCopulaFit | Source code |
| .lambdaTailRisk | Source code |
| .ledoitWolfEstimator | Source code |
| .lpAssign | Source code |
| .macdIndicator | Source code |
| .madRglpkArguments | Source code |
| .madSolveTwoAssets | Source code |
| .mcdEstimator2 | Source code |
| .mcr | Source code |
| .mcrBeta | Source code |
| .minriskPortfolio | Source code |
| .mveEstimator2 | Source code |
| .myVaR | Source code |
| .netPerformanceCalendar | Source code |
| .netPerformancePlot | Source code |
| .netPerformanceYTD | Source code |
| .normDependencyFit | Source code |
| .notStackedWeightsPlot | Source code |
| .onAttach | Source code |
| .onLoad | Source code |
| .portfolioFrontier | Source code |
| .powellTestNLP | Source code |
| .qpAssign | Source code |
| .quadprog.CLA | Source code |
| .rachevratioTestNLP | Source code |
| .rebalancingStats | Source code |
| .rglpk.CVAR | Source code |
| .rglpk.MAD | Source code |
| .rgsgnormCopula | Source code |
| .ripopArguments | Source code |
| .riskBudgets | Source code |
| .riskContributions | Source code |
| .rmtEstimator | Source code |
| .rosensuzukiTestNLP | Source code |
| .rquadprog | Source code |
| .rquadprogArguments | Source code |
| .rshortExact | Source code |
| .rshortExactArguments | Source code |
| .rsocp | Source code |
| .rsocpArguments | Source code |
| .rsocpControl | Source code |
| .rsolnpArguments | Source code |
| .run | Source code |
| .scaledColors | Source code |
| .sharperatioTestNLP | Source code |
| .solveLP.GLPK.demo | Source code |
| .solveLP.MAD.demo | Source code |
| .solveNLP.demo | Source code |
| .solveQP.MV.demo | Source code |
| .solveRtwoAssets | Source code |
| .studentEstimator | Source code |
| .summary.solver | Source code |
| .tailDependenceCoeffs | Source code |
| .tailRiskBudgetsLinePlot | Source code |
| .vaniniFig | Source code |
| .varRisk | Source code |
| .weightsWheel | Source code |
| .wright4TestNLP | Source code |
| .wright9TestNLP | Source code |
| Data | Man page |
| ECON85 | Man page |
| ECON85LONG | Man page |
| GCCINDEX | Man page |
| GCCINDEX.DF | Man page |
| GCCINDEX.RET | Man page |
| LPP2005 | Man page |
| LPP2005.RET | Man page |
| LPP2005.RET.DF | Man page |
| SMALLCAP | Man page |
| SMALLCAP.RET | Man page |
| SMALLCAP.RET.DF | Man page |
| SPISECTOR | Man page |
| SPISECTOR.DF | Man page |
| SPISECTOR.RET | Man page |
| SWX | Man page |
| SWX.DF | Man page |
| SWX.RET | Man page |
| addRainbow | Man page Source code |
| amplDataAdd | Man page Source code |
| amplDataAddMatrix | Man page Source code |
| amplDataAddValue | Man page Source code |
| amplDataAddVector | Man page Source code |
| amplDataOpen | Man page Source code |
| amplDataSemicolon | Man page Source code |
| amplDataShow | Man page Source code |
| amplLP | Man page Source code |
| amplLPControl | Man page Source code |
| amplModelAdd | Man page Source code |
| amplModelOpen | Man page Source code |
| amplModelShow | Man page Source code |
| amplNLP | Man page Source code |
| amplNLPControl | Man page Source code |
| amplOutShow | Man page Source code |
| amplQP | Man page Source code |
| amplQPControl | Man page Source code |
| amplRunAdd | Man page Source code |
| amplRunOpen | Man page Source code |
| amplRunShow | Man page Source code |
| backtestAssetsPlot | Man page Source code |
| backtestDrawdownPlot | Man page Source code |
| backtestPlot | Man page Source code |
| backtestPortfolioPlot | Man page Source code |
| backtestRebalancePlot | Man page Source code |
| backtestReportPlot | Man page Source code |
| backtestStats | Man page Source code |
| backtestWeightsPlot | Man page Source code |
| bcpAnalytics | Man page |
| budgetsModifiedES | Man page Source code |
| budgetsModifiedVAR | Man page Source code |
| budgetsNormalES | Man page Source code |
| budgetsNormalVAR | Man page Source code |
| budgetsSampleCOV | Man page Source code |
| 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 Source code |
| cmlPoints | Man page Source code |
| covEstimator | Man page Source code |
| covMcdEstimator | Man page Source code |
| covOGKEstimator | Man page Source code |
| covRisk | Man page Source code |
| covRiskBudgetsLinePlot | Man page Source code |
| covRiskBudgetsPie | Man page Source code |
| covRiskBudgetsPlot | Man page Source code |
| cvarRisk | Man page Source code |
| dataSets | Man page |
| donlp2NLP | Man page |
| donlp2NLPControl | Man page |
| drawdownsAnalytics | Man page Source code |
| efficientPortfolio | Man page Source code |
| emaSmoother | Man page Source code |
| eqsumWConstraints | Man page Source code |
| equalWeightsPoints | Man page Source code |
| equidistWindows | Man page Source code |
| fPFOLIOBACKTEST | Man page |
| fPFOLIOBACKTEST-class | Man page |
| fPFOLIOCON | Man page |
| fPFOLIOCON-class | Man page |
| fPFOLIODATA | Man page |
| fPFOLIODATA-class | Man page |
| fPFOLIOSPEC | Man page |
| fPFOLIOSPEC-class | Man page |
| fPFOLIOVAL | Man page |
| fPFOLIOVAL-class | Man page |
| fPORTFOLIO | Man page |
| fPORTFOLIO-class | Man page |
| fPortfolio | Man page |
| feasibleGrid | Man page Source code |
| feasiblePortfolio | Man page Source code |
| frontierPlot | Man page Source code |
| frontierPlotControl | Man page Source code |
| frontierPoints | Man page Source code |
| garchAnalytics | Man page |
| getA | Man page Source code |
| getA.fPFOLIOSPEC | Man page Source code |
| getA.fPORTFOLIO | Man page Source code |
| getAlpha | Man page Source code |
| getAlpha.fPFOLIOSPEC | Man page Source code |
| getAlpha.fPFOLIOVAL | Man page Source code |
| getAlpha.fPORTFOLIO | Man page Source code |
| getConstraints | Man page Source code |
| getConstraints.fPORTFOLIO | Man page Source code |
| getConstraintsTypes | Man page Source code |
| getControl | Man page Source code |
| getControl.fPFOLIOSPEC | Man page Source code |
| getControl.fPORTFOLIO | Man page Source code |
| getCov | Man page Source code |
| getCov.fPFOLIODATA | Man page Source code |
| getCov.fPORTFOLIO | Man page Source code |
| getCovRiskBudgets | Man page Source code |
| getCovRiskBudgets.fPFOLIOVAL | Man page Source code |
| getCovRiskBudgets.fPORTFOLIO | Man page Source code |
| getData | Man page Man page Source code |
| getData.fPFOLIODATA | Man page Source code |
| getData.fPORTFOLIO | Man page Source code |
| getDefault | Man page |
| getEstimator | Man page Source code |
| getEstimator.fPFOLIODATA | Man page Source code |
| getEstimator.fPFOLIOSPEC | Man page Source code |
| getEstimator.fPORTFOLIO | Man page Man page Source code Source code |
| getMean | Man page Source code |
| getMean.fPFOLIODATA | Man page Source code |
| getMean.fPORTFOLIO | Man page Source code |
| getMessages | Man page Man page Source code |
| getMessages.fPFOLIOBACKTEST | Man page Source code |
| getMessages.fPFOLIOSPEC | Man page Source code |
| getModel | Man page |
| getModel.fPFOLIOSPEC | Man page Source code |
| getModel.fPORTFOLIO | Man page Source code |
| getMu | Man page Source code |
| getMu.fPFOLIODATA | Man page Source code |
| getMu.fPORTFOLIO | Man page Source code |
| getNAssets | Man page Source code |
| getNAssets.fPFOLIODATA | Man page Source code |
| getNAssets.fPORTFOLIO | Man page Source code |
| getNFrontierPoints | Man page Source code |
| getNFrontierPoints.fPFOLIOSPEC | Man page Source code |
| getNFrontierPoints.fPFOLIOVAL | Man page Source code |
| getNFrontierPoints.fPORTFOLIO | Man page Source code |
| getObjective | Man page Source code |
| getObjective.fPFOLIOSPEC | Man page Source code |
| getObjective.fPORTFOLIO | Man page Source code |
| getOptim | Man page Source code |
| getOptim.fPFOLIOSPEC | Man page Source code |
| getOptim.fPORTFOLIO | Man page Source code |
| getOptimize | Man page Source code |
| getOptimize.fPFOLIOSPEC | Man page Source code |
| getOptimize.fPORTFOLIO | Man page Source code |
| getOptions | Man page Source code |
| getOptions.fPFOLIOSPEC | Man page Source code |
| getOptions.fPORTFOLIO | Man page Source code |
| getParams | Man page Source code |
| getParams.fPFOLIOSPEC | Man page Source code |
| getParams.fPORTFOLIO | Man page Source code |
| getPortfolio | Man page Source code |
| getPortfolio.fPFOLIOSPEC | Man page Source code |
| getPortfolio.fPFOLIOVAL | Man page Source code |
| getPortfolio.fPORTFOLIO | Man page Source code |
| getRiskFreeRate | Man page Source code |
| getRiskFreeRate.fPFOLIOSPEC | Man page Source code |
| getRiskFreeRate.fPFOLIOVAL | Man page Source code |
| getRiskFreeRate.fPORTFOLIO | Man page Source code |
| getSeries | Man page Source code |
| getSeries.fPFOLIODATA | Man page Source code |
| getSeries.fPORTFOLIO | Man page Source code |
| getSigma | Man page Source code |
| getSigma.fPFOLIODATA | Man page Source code |
| getSigma.fPORTFOLIO | Man page Source code |
| getSmoother | Man page Source code |
| getSmoother.fPFOLIOBACKTEST | Man page Source code |
| getSmootherDoubleSmoothing | Man page Source code |
| getSmootherDoubleSmoothing.fPFOLIOBACKTEST | Man page Source code |
| getSmootherFun | Man page Source code |
| getSmootherFun.fPFOLIOBACKTEST | Man page Source code |
| getSmootherInitialWeights | Man page Source code |
| getSmootherInitialWeights.fPFOLIOBACKTEST | Man page Source code |
| getSmootherLambda | Man page Source code |
| getSmootherLambda.fPFOLIOBACKTEST | Man page Source code |
| getSmootherParams | Man page Source code |
| getSmootherParams.fPFOLIOBACKTEST | Man page Source code |
| getSmootherSkip | Man page Source code |
| getSmootherSkip.fPFOLIOBACKTEST | Man page Source code |
| getSolver | Man page Source code |
| getSolver.fPFOLIOSPEC | Man page Source code |
| getSolver.fPORTFOLIO | Man page Source code |
| getSpec | Man page Man page Source code |
| getSpec.fPORTFOLIO | Man page Source code |
| getStatistics | Man page Source code |
| getStatistics.fPFOLIODATA | Man page Source code |
| getStatistics.fPORTFOLIO | Man page Source code |
| getStatus | Man page Source code |
| getStatus.fPFOLIOSPEC | Man page Source code |
| getStatus.fPFOLIOVAL | Man page Source code |
| getStatus.fPORTFOLIO | Man page Source code |
| getStrategy | Man page Source code |
| getStrategy.fPFOLIOBACKTEST | Man page Source code |
| getStrategyFun | Man page Source code |
| getStrategyFun.fPFOLIOBACKTEST | Man page Source code |
| getStrategyParams | Man page Source code |
| getStrategyParams.fPFOLIOBACKTEST | Man page Source code |
| getTailRisk | Man page Source code |
| getTailRisk.fPFOLIODATA | Man page Source code |
| getTailRisk.fPFOLIOSPEC | Man page Source code |
| getTailRisk.fPORTFOLIO | Man page Source code |
| getTailRiskBudgets | Man page Source code |
| getTailRiskBudgets.fPORTFOLIO | Man page |
| getTargetReturn | Man page Source code |
| getTargetReturn.fPFOLIOSPEC | Man page Source code |
| getTargetReturn.fPFOLIOVAL | Man page Source code |
| getTargetReturn.fPORTFOLIO | Man page Source code |
| getTargetRisk | Man page Source code |
| getTargetRisk.fPFOLIOSPEC | Man page Source code |
| getTargetRisk.fPFOLIOVAL | Man page Source code |
| getTargetRisk.fPORTFOLIO | Man page Source code |
| getTrace | Man page Source code |
| getTrace.fPFOLIOSPEC | Man page Source code |
| getTrace.fPORTFOLIO | Man page Source code |
| getType | Man page Source code |
| getType.fPFOLIOSPEC | Man page Source code |
| getType.fPORTFOLIO | Man page Source code |
| getUnits | Man page |
| getUnits.fPFOLIODATA | Man page Source code |
| getUnits.fPORTFOLIO | Man page Source code |
| getWeights | Man page Source code |
| getWeights.fPFOLIOSPEC | Man page Source code |
| getWeights.fPFOLIOVAL | Man page Source code |
| getWeights.fPORTFOLIO | Man page Source code |
| getWindows | Man page Source code |
| getWindows.fPFOLIOBACKTEST | Man page Source code |
| getWindowsFun | Man page Source code |
| getWindowsFun.fPFOLIOBACKTEST | Man page Source code |
| getWindowsHorizon | Man page Source code |
| getWindowsHorizon.fPFOLIOBACKTEST | Man page Source code |
| getWindowsParams | Man page Source code |
| getWindowsParams.fPFOLIOBACKTEST | Man page Source code |
| glpkLP | Man page |
| glpkLPControl | Man page Source code |
| ipopQP | Man page Source code |
| ipopQPControl | Man page Source code |
| kendallEstimator | Man page Source code |
| kestrelQP | Man page Source code |
| kestrelQPControl | Man page Source code |
| lambdaCVaR | Man page Source code |
| listFConstraints | Man page Source code |
| lpmEstimator | Man page Source code |
| markowitzHull | Man page |
| maxBConstraints | Man page Source code |
| maxBuyinConstraints | Man page Source code |
| maxCardConstraints | Man page Source code |
| maxFConstraints | Man page Source code |
| maxReturn | Man page |
| maxWConstraints | Man page Source code |
| maxddMap | Man page Source code |
| maxratioPortfolio | Man page Source code |
| maxreturnPortfolio | Man page Source code |
| maxsumWConstraints | Man page Source code |
| mcdEstimator | Man page Source code |
| minBConstraints | Man page Source code |
| minBuyinConstraints | Man page Source code |
| minCardConstraints | Man page Source code |
| minFConstraints | Man page Source code |
| minRisk | Man page |
| minWConstraints | Man page Source code |
| minriskPortfolio | Man page Source code |
| minsumWConstraints | Man page Source code |
| minvariancePoints | Man page Source code |
| minvariancePortfolio | Man page Source code |
| modifiedVaR | Man page Source code |
| monteCarloPoints | Man page Source code |
| mveEstimator | Man page Source code |
| nCardConstraints | Man page Source code |
| neosLP | Man page Source code |
| neosLPControl | Man page Source code |
| neosQP | Man page Source code |
| neosQPControl | Man page Source code |
| netPerformance | Man page Source code |
| nlminb2 | Man page Source code |
| nlminb2Control | Man page Source code |
| nlminb2NLP | Man page Source code |
| nlminb2NLPControl | Man page Source code |
| nnveEstimator | Man page Source code |
| normalVaR | Man page Source code |
| parAnalytics | Man page Source code |
| pcoutAnalytics | Man page |
| pfolioCVaR | Man page Source code |
| pfolioCVaRoptim | Man page Source code |
| pfolioCVaRplus | Man page Source code |
| pfolioHist | Man page Source code |
| pfolioMaxLoss | Man page Source code |
| pfolioReturn | Man page Man page Source code |
| pfolioRisk | Man page |
| pfolioSigma | Man page |
| pfolioTargetReturn | Man page Source code |
| pfolioTargetRisk | Man page Source code |
| pfolioVaR | Man page Source code |
| plot-methods | Man page |
| plot.fPORTFOLIO | Man page Source code |
| portfolioBacktest | Man page Source code |
| portfolioBacktesting | Man page Source code |
| portfolioConstraints | Man page Source code |
| portfolioData | Man page Source code |
| portfolioData2 | Man page |
| portfolioFrontier | Man page Source code |
| portfolioObjective | Man page Source code |
| portfolioReturn | Man page Source code |
| portfolioRisk | Man page Source code |
| portfolioRolling | Man page |
| portfolioSmoothing | Man page Source code |
| portfolioSpec | Man page Source code |
| print.solver | Man page Source code Source code |
| quadprogQP | Man page Source code |
| quadprogQPControl | Man page Source code |
| ramplLP | Man page Source code |
| ramplNLP | Man page Source code |
| ramplQP | Man page Source code |
| rdonlp2 | Man page |
| rdonlp2NLP | Man page |
| rglpkLP | Man page Source code |
| ripopQP | Man page Source code |
| riskBudgetsPlot | Man page Source code |
| riskMap | Man page Source code |
| riskPfolio | Man page |
| riskmetricsAnalytics | Man page Source code |
| rkestrelQP | Man page Source code |
| rneosLP | Man page Source code |
| rneosQP | Man page Source code |
| rnlminb2 | Man page Source code |
| rnlminb2NLP | Man page Source code |
| rollingCDaR | Man page Source code |
| rollingCVaR | Man page Source code |
| rollingCmlPortfolio | Man page Source code |
| rollingDaR | Man page Source code |
| rollingMinvariancePortfolio | Man page Source code |
| rollingPortfolio | Man page |
| rollingPortfolioFrontier | Man page Source code |
| rollingRiskBudgets | Man page |
| rollingSigma | Man page Source code |
| rollingTangencyPortfolio | Man page Source code |
| rollingVaR | Man page Source code |
| rollingWindows | Man page Source code |
| rquadprog | Man page |
| rquadprogQP | Man page Source code |
| rsolnpNLP | Man page Source code |
| rsolveLP | Man page Source code |
| rsolveQP | Man page Source code |
| rsymphonyLP | Man page Source code |
| sampleCOV | Man page Source code |
| sampleVaR | Man page Source code |
| 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 Source code |
| 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 Source code |
| singleAssetPoints | Man page Source code |
| slpmEstimator | Man page Source code |
| solnpNLP | Man page Source code |
| solnpNLPControl | Man page Source code |
| solveRampl.CVAR | Man page Source code |
| solveRampl.MV | Man page |
| solveRdonlp2 | Man page |
| solveRglpk.CVAR | Man page Source code |
| solveRglpk.MAD | Man page Source code |
| solveRipop | Man page Source code |
| solveRquadprog | Man page Source code |
| solveRquadprog.CLA | Man page Source code |
| solveRshortExact | Man page Source code |
| solveRsocp | Man page Source code |
| solveRsolnp | Man page Source code |
| spearmanEstimator | Man page Source code |
| stabilityAnalytics | Man page Source code |
| summary-methods | Man page |
| summary.fPORTFOLIO | Man page Source code |
| symphonyLP | Man page Source code |
| symphonyLPControl | Man page Source code |
| tailRiskBudgetsLinePlot | Man page |
| tailRiskBudgetsPie | Man page Source code |
| tailRiskBudgetsPlot | Man page Source code |
| tailoredFrontierPlot | Man page Source code |
| tangencyLines | Man page Source code |
| tangencyPoints | Man page Source code |
| tangencyPortfolio | Man page Source code |
| tangencyStrategy | Man page Source code |
| ternaryCoord | Man page Source code |
| ternaryFrontier | Man page Source code |
| ternaryMap | Man page Source code |
| ternaryPoints | Man page Source code |
| ternaryWeights | Man page Source code |
| turnsAnalytics | Man page Source code |
| twoAssetsLines | Man page Source code |
| varRisk | Man page Source code |
| waveletSpectrum | Man page Source code |
| weightedReturnsLinePlot | Man page Source code |
| weightedReturnsPie | Man page Source code |
| weightedReturnsPlot | Man page Source code |
| weightsLinePlot | Man page Source code |
| weightsPie | Man page Source code |
| weightsPlot | Man page Source code |
| weightsSlider | Man page Source code |
