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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>.
Getting started
Browse package contents
Package details |
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| Author | Ronald Hochreiter [aut, cre] |
| Maintainer | Ronald Hochreiter <ron@hochreiter.net> |
| License | MIT + file LICENSE |
| Version | 1.0-0 |
| URL | http://www.finance-r.com/ |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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