Man pages for portfolio.optimization
Contemporary Portfolio Optimization

active.extensionEnable active extension portfolios
alphaSet new alpha of a portfolio.model
aux_portfolio.defaultSet portfolio.model default values
aux_risk.aliasConvert risk alias names to internal names
aux_simulate.scenariosSimulate a multivariate-normal scenario.set
linear.constraint.eqCreate or update a vector-based linear equality constraint...
linear.constraint.iqCreate or update a vector-based linear inequality constraint...
long.onlyDisable active extension portfolios
lower.boundSet lower bounds on assets
momentumSet momentum parameters for a portfolio.model
objectiveSet new objective of a portfolio.model
optimal.portfolioMeta-function to optimize portfolios given a portfolio.model...
optimal.portfolio.1overN1 over N portfolio
optimal.portfolio.expected.shortfallPortfolio Optimization minimizing Conditional Value at Risk...
optimal.portfolio.expected.shortfall.long.shortPortfolio Optimization minimizing Conditional Value at Risk...
optimal.portfolio.madPortfolio Optimization minimizing MAD
optimal.portfolio.mad.long.shortPortfolio Optimization minimizing MAD (Active Extension)
optimal.portfolio.markowitzPortfolio Optimization minimizing Standard Deviation
optimal.portfolio.momentumMomentum portfolio including momentum for active extensions
optimal.portfolio.rewardCompute maximum/minimum return portfolio given the...
portfolio.lossReturn the loss distribution of the portfolio.model
portfolio.modelCreate a portfolio.model instance (or fix an existing one)
portfolio.optimization-packageContemporary Portfolio Optimization
portfolio.weightsReturn the portfolio weights of a portfolio.model
po.tutorialOpen a specific portfolio.optimization package tutorial
print.portfolio.modelOverload print() for portfolio.model
sp100w17S&P 100 weekly stock returns 2017
sp100w17avS&P 100 average trading volume over the whole year 2017
sp100w17av30sS&P 100 weekly stock returns 2017 of 30 stocks with the...
upper.boundSet upper bounds on assets
portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.