parma: Portfolio Allocation and Risk Management Applications

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Author
Alexios Ghalanos [aut, cre], Bernhard Pfaff [ctb], Miguel Sousa Lobo [ctb] (SOCP), Lieven Vandenberghe [ctb] (SOCP), Stephen Boyd [ctb] (SOCP), Herve Lebret [ctb] (SOCP)
Date of publication
2016-08-25 22:54:03
Maintainer
Alexios Ghalanos <alexios@4dscape.com>
License
GPL-3
Version
1.5-3

View on CRAN

Man pages

cmaes-solver
The Covariance Matrix Adaptation Evolution Strategy (cmaes)...
constraints
NLP custom constraint functions
etfdata
15 Exchange Traded Funds (ETFs)
parmafrontier-methods
Efficient Frontier Generator
parma-package
The parma package
parmaPort-class
Class '"parmaPort"'
parmasolve-methods
Portfolio Allocation Model Solver
parmaSpec-class
Class '"parmaSpec"'
parmaspec-methods
Portfolio Allocation Model Specification
parmautility-methods
Utility Based Optimization
riskfun
Portfolio Risk Measures
Socp
Second-order Cone Programming
SocpControl
Control Variables for Socp
SocpPhase1
SOCP: Initialising objective variable x in primal form
SocpPhase2
SOCP: Initialising objective variable z in dual form

Files in this package

parma
parma/inst
parma/inst/CITATION
parma/inst/COPYRIGHTS
parma/inst/parma.tests
parma/inst/parma.tests/parma.tests.R
parma/inst/doc
parma/inst/doc/Portfolio_Optimization_in_parma.pdf
parma/inst/doc/Portfolio_Optimization_in_parma.Rnw
parma/src
parma/src/Makevars
parma/src/socp.c
parma/src/socp.h
parma/NAMESPACE
parma/data
parma/data/etfdata.rda
parma/Changelog
parma/R
parma/R/p-constraints.R
parma/R/p-GNLP.R
parma/R/p-main.R
parma/R/p-SOCP.R
parma/R/Socp.R
parma/R/p-timeseries.R
parma/R/p-cmaes.R
parma/R/p-fun.R
parma/R/p-Utility.R
parma/R/p-methods.R
parma/R/p-NLP.R
parma/R/p-QP.R
parma/R/p-MILP.R
parma/R/p-classes.R
parma/R/zzz.R
parma/R/p-LP.R
parma/vignettes
parma/vignettes/solvers.tex
parma/vignettes/Portfolio_Optimization_in_parma.tex
parma/vignettes/parmabib.bib
parma/vignettes/mam.png
parma/vignettes/lpnlp2.tex
parma/vignettes/parma.tex
parma/vignettes/mam.tex
parma/vignettes/lpnlp1.tex
parma/vignettes/lpmutility.png
parma/vignettes/frontier.tex
parma/vignettes/lpmutility.tex
parma/vignettes/frontier.png
parma/vignettes/riskcompare.tex
parma/vignettes/Portfolio_Optimization_in_parma.Rnw
parma/README.md
parma/MD5
parma/build
parma/build/vignette.rds
parma/DESCRIPTION
parma/man
parma/man/parmaPort-class.Rd
parma/man/SocpPhase1.Rd
parma/man/constraints.Rd
parma/man/parmasolve-methods.Rd
parma/man/parmaspec-methods.Rd
parma/man/parmautility-methods.Rd
parma/man/riskfun.Rd
parma/man/Socp.Rd
parma/man/etfdata.Rd
parma/man/parmafrontier-methods.Rd
parma/man/parma-package.Rd
parma/man/SocpPhase2.Rd
parma/man/parmaSpec-class.Rd
parma/man/SocpControl.Rd
parma/man/cmaes-solver.Rd
parma/.Rinstignore