Man pages for portfolio.optimization
Contemporary Portfolio Optimization
| active.extension | Enable active extension portfolios |
| alpha | Set new alpha of a portfolio.model |
| aux_portfolio.default | Set portfolio.model default values |
| aux_risk.alias | Convert risk alias names to internal names |
| aux_simulate.scenarios | Simulate a multivariate-normal scenario.set |
| linear.constraint.eq | Create or update a vector-based linear equality constraint... |
| linear.constraint.iq | Create or update a vector-based linear inequality constraint... |
| long.only | Disable active extension portfolios |
| lower.bound | Set lower bounds on assets |
| momentum | Set momentum parameters for a portfolio.model |
| objective | Set new objective of a portfolio.model |
| optimal.portfolio | Meta-function to optimize portfolios given a portfolio.model... |
| optimal.portfolio.1overN | 1 over N portfolio |
| optimal.portfolio.expected.shortfall | Portfolio Optimization minimizing Conditional Value at Risk... |
| optimal.portfolio.expected.shortfall.long.short | Portfolio Optimization minimizing Conditional Value at Risk... |
| optimal.portfolio.mad | Portfolio Optimization minimizing MAD |
| optimal.portfolio.mad.long.short | Portfolio Optimization minimizing MAD (Active Extension) |
| optimal.portfolio.markowitz | Portfolio Optimization minimizing Standard Deviation |
| optimal.portfolio.momentum | Momentum portfolio including momentum for active extensions |
| optimal.portfolio.reward | Compute maximum/minimum return portfolio given the... |
| portfolio.loss | Return the loss distribution of the portfolio.model |
| portfolio.model | Create a portfolio.model instance (or fix an existing one) |
| portfolio.optimization-package | Contemporary Portfolio Optimization |
| portfolio.weights | Return the portfolio weights of a portfolio.model |
| po.tutorial | Open a specific portfolio.optimization package tutorial |
| print.portfolio.model | Overload print() for portfolio.model |
| sp100w17 | S&P 100 weekly stock returns 2017 |
| sp100w17av | S&P 100 average trading volume over the whole year 2017 |
| sp100w17av30s | S&P 100 weekly stock returns 2017 of 30 stocks with the... |
| upper.bound | Set upper bounds on assets |
