portfolio.optimization: Contemporary Portfolio Optimization

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

Package details

AuthorRonald Hochreiter [aut, cre]
MaintainerRonald Hochreiter <[email protected]>
LicenseMIT + file LICENSE
Version1.0-0
URL http://www.finance-r.com/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("portfolio.optimization")

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portfolio.optimization documentation built on Aug. 24, 2018, 5:05 p.m.