parma: Portfolio Allocation and Risk Management Applications
Version 1.5-3

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

Browse man pages Browse package API and functions Browse package files

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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("parma")

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

Functions

Lag Source code
LastMonthDay Source code
SeqWeekdays Source code
Socp Man page Source code
SocpControl Man page Source code
SocpPhase1 Man page Source code
SocpPhase2 Man page Source code
Weekday Source code
arbcheck Source code
cara2.eq Source code
cara2.eqgr Source code
cara2.fn Source code
cara2.gr Source code
cara4.eq Source code
cara4.eqgr Source code
cara4.fn Source code
cara4.gr Source code
centropy Source code
checkarbitrage Man page Source code Source code
checkarbitrage,ANY-method Man page
checkarbitrage,parmaPort-method Man page
checkconsfun Source code
cmaes Man page Source code
cmaes.control Man page Source code
cmaes.ctrl Source code
cond Source code
crs.ctrl Source code
eqfun.budget.min Source code
eqfun.budget.opt Source code
eqfun.leverage.min Source code
eqfun.leverage.opt Source code
eqfun.target.min Source code
eqfun.target.opt Source code
eqjac.budget.min Source code
eqjac.budget.opt Source code
eqjac.leverage.min Source code
eqjac.leverage.opt Source code
eqjac.target.min Source code
eqjac.target.opt Source code
etfdata Man page
eval.control Source code
eye Source code
fcigar Source code
fcigtab Source code
fdiffpow Source code
felli Source code
felli100 Source code
find Source code
fparabR Source code
fplane Source code
frastrigin10 Source code
frosenbrock Source code
fschwefel Source code
fsharpR Source code
fsphere Source code
fssphere Source code
ftablet Source code
ftwoaxes Source code
fun.cdar Source code
fun.cumret Source code
fun.cvar Source code
fun.dd Source code
fun.lpm Source code
fun.mad Source code
fun.minmax Source code
fun.qvar Source code
fun.rachevratio Source code
fun.risk Source code
fun.upm Source code
fun.var Source code
func.abs.smooth Source code
func.abs.smooth2 Source code
func.ineq.lpmupm Source code Source code
func.lpmupm Source code
func.max.smooth Source code
func.mincvar Source code
func.minlpm Source code
func.minmad Source code
func.minminmax Source code
func.minvar Source code
func.optcvar Source code
func.optlpm Source code
func.optlpmupm Source code
func.optmad Source code
func.optminmax Source code
func.optvar Source code
gnlp.ctrl Source code
gnlp.fraccmaes Source code
gnlp.fraccrs Source code
gnlp.mincmaes Source code
gnlp.mincrs Source code
gnlpport Source code
grad.abs.smooth Source code
grad.abs.smooth2 Source code
grad.ineq.lpmupm Source code
grad.max.smooth Source code
grad.mincvar Source code
grad.minlpm Source code
grad.minmad Source code
grad.minminmax Source code
grad.minvar Source code
grad.optcvar Source code
grad.optlpm Source code
grad.optlpmupm Source code
grad.optmad Source code
grad.optminmax Source code
grad.optvar Source code
ineqfun.bounds.opt Source code
ineqfun.bsturnover.min Man page Source code
ineqfun.bsturnover.opt Man page Source code
ineqfun.lpm.min Source code
ineqfun.lpm.opt Source code
ineqfun.minminmax Source code
ineqfun.optminmax Source code
ineqfun.target.min Source code
ineqfun.turnover.min Man page Source code
ineqfun.turnover.opt Man page Source code
ineqfun.variance.min Man page Source code
ineqfun.variance.opt Man page Source code
ineqjac.bounds.opt Source code
ineqjac.bsturnover.min Man page Source code
ineqjac.bsturnover.opt Man page Source code
ineqjac.lpm.min Source code
ineqjac.lpm.opt Source code
ineqjac.minminmax Source code
ineqjac.optminmax Source code
ineqjac.target.min Source code
ineqjac.turnover.min Man page Source code
ineqjac.turnover.opt Man page Source code
ineqjac.variance.min Man page Source code
ineqjac.variance.opt Man page Source code
is.even Source code
local_noisemeasurement Source code
logtransform Source code
lpcdar.minrisk Source code
lpcdar.optrisk Source code
lpcvar.minrisk Source code
lpcvar.optrisk Source code
lplpm1.minrisk Source code
lplpm1.optrisk Source code
lpmad.minrisk Source code
lpmad.optrisk Source code
lpmin.setup Source code
lpminmax.minrisk Source code
lpminmax.optrisk Source code
lpminsolver Source code
lpopt.setup Source code
lpoptsolver Source code
lpport Source code
m.parmafrontier Source code
matrix.lag Source code
max.int Source code
milpcdar.minrisk Source code
milpcvar.minrisk Source code
milpfracsolver Source code
milplpm1.minrisk Source code
milpmad.minrisk Source code
milpminmax.minrisk Source code
milpminsolver Source code
milpmodrachev Source code
milpport Source code
min.int Source code
myprctile Source code
myrange Source code
nloptr.ctrl Source code
nlpport Source code
numeric.lag Source code
onAttach Source code
ones Source code
parma Man page
parma-package Man page
parma.con.qpmin1 Source code
parma.con.qpmin2 Source code
parma.con.qpopt Source code
parma.eq.lpmin Source code
parma.eq.lpmupm Source code
parma.eq.lpopt Source code
parma.eq.minfun Source code
parma.eq.mingrad Source code
parma.eq.optfun Source code
parma.eq.optgrad Source code
parma.eqcon.qcqpsocp Source code
parma.eqcon.qpsocp Source code
parma.ineq.lpmin Source code
parma.ineq.lpmupm Source code
parma.ineq.lpopt Source code
parma.ineq.minfun Source code
parma.ineq.mingrad Source code
parma.ineq.optfun Source code
parma.ineq.optgrad Source code
parma.ineqcon.qcqpsocp Source code
parma.ineqcon.qpmaxrewardsocp Source code
parma.ineqcon.qpoptsocp Source code
parma.ineqcon.qpsocp Source code
parma2CARA Source code
parma4CARA Source code
parmaPort-class Man page
parmaSpec-class Man page
parmafrontier Man page Source code Source code
parmafrontier,ANY-method Man page
parmafrontier,parmaSpec-method Man page
parmafrontier-methods Man page
parmaget Man page Source code Source code
parmaget,ANY-method Man page
parmaget,parmaSpec-method Man page
parmareward Man page Source code Source code
parmareward,ANY-method Man page
parmareward,parmaPort-method Man page
parmarisk Man page Source code Source code
parmarisk,ANY-method Man page
parmarisk,parmaPort-method Man page
parmaset Source code Source code
parmaset<- Man page
parmaset<-,ANY,ANY-method Man page
parmaset<-,parmaSpec,vector-method Man page
parmasolve Man page Source code Source code
parmasolve,ANY-method Man page
parmasolve,parmaSpec-method Man page
parmasolve-methods Man page
parmaspec Man page Source code Source code
parmaspec,ANY-method Man page
parmaspec-methods Man page
parmastatus Man page Source code
parmastatus,ANY-method Man page
parmastatus,parmaPort-method Man page
parmautility Man page Source code Source code
parmautility,ANY-method Man page
parmautility-methods Man page
parmaweights Source code Source code
penalty.lpmupm Source code
penalty.minfun Source code
penalty.optfun Source code
pstatus Source code
qp.min Source code
qp.opt Source code
qpmin.solver Source code
qpopt.solver Source code
qpport Source code
repmat Source code
reshape Source code
riskfun Man page Source code
s.parmafrontier Source code
sentropy Source code
show,parmaPort-method Man page
show,parmaSpec-method Man page
simweights Source code
socp.max Source code
socp.min Source code
socp.opt Source code
socpmax.solver Source code
socpmin.solver Source code
socpopt.solver Source code
socpport Source code
spec2LP Source code
spec2QP Source code
spec2SOCP Source code
spec2minGNLP Source code
spec2minNLP Source code
spec2optGNLP Source code
spec2optNLP Source code
sqrtm Source code Source code
tictoc Man page Source code Source code
tictoc,ANY-method Man page
tictoc,parmaPort-method Man page
timeSeries.lag Source code
tril Source code
triu Source code
vfun.cvar Source code
vfun.lpm Source code
vfun.mad Source code
vfun.risk Source code
vfun.var Source code
weights,parmaPort-method Man page
xintobounds Source code
zeros Source code

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
parma documentation built on May 19, 2017, 3:44 p.m.