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.

Install the latest version of this package by entering the following in R:
install.packages("parma")
AuthorAlexios 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 publication2016-08-25 22:54:03
MaintainerAlexios Ghalanos <alexios@4dscape.com>
LicenseGPL-3
Version1.5-3

View on CRAN

Functions

checkarbitrage Man page
checkarbitrage,ANY-method Man page
checkarbitrage,parmaPort-method Man page
cmaes Man page
cmaes.control Man page
etfdata Man page
ineqfun.bsturnover.min Man page
ineqfun.bsturnover.opt Man page
ineqfun.turnover.min Man page
ineqfun.turnover.opt Man page
ineqfun.variance.min Man page
ineqfun.variance.opt Man page
ineqjac.bsturnover.min Man page
ineqjac.bsturnover.opt Man page
ineqjac.turnover.min Man page
ineqjac.turnover.opt Man page
ineqjac.variance.min Man page
ineqjac.variance.opt Man page
parma Man page
parmafrontier Man page
parmafrontier,ANY-method Man page
parmafrontier-methods Man page
parmafrontier,parmaSpec-method Man page
parmaget Man page
parmaget,ANY-method Man page
parmaget,parmaSpec-method Man page
parma-package Man page
parmaPort-class Man page
parmareward Man page
parmareward,ANY-method Man page
parmareward,parmaPort-method Man page
parmarisk Man page
parmarisk,ANY-method Man page
parmarisk,parmaPort-method Man page
parmaset<- Man page
parmaset<-,ANY,ANY-method Man page
parmaset<-,parmaSpec,vector-method Man page
parmasolve Man page
parmasolve,ANY-method Man page
parmasolve-methods Man page
parmasolve,parmaSpec-method Man page
parmaspec Man page
parmaspec,ANY-method Man page
parmaSpec-class Man page
parmaspec-methods Man page
parmastatus Man page
parmastatus,ANY-method Man page
parmastatus,parmaPort-method Man page
parmautility Man page
parmautility,ANY-method Man page
parmautility-methods Man page
riskfun Man page
show,parmaPort-method Man page
show,parmaSpec-method Man page
Socp Man page
SocpControl Man page
SocpPhase1 Man page
SocpPhase2 Man page
tictoc Man page
tictoc,ANY-method Man page
tictoc,parmaPort-method Man page
weights,parmaPort-method Man page

Files

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

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.