Man pages for R-Finance/PortfolioAnalytics
Portfolio Analysis, including Numerical Methods for Optimization of Portfolios
| add.constraint | General interface for adding and/or updating optimization... |
| add.objective | General interface for adding optimization objectives,... |
| applyFUN | Apply a risk or return function to a set of weights |
| barplotGroupWeights | barplot of group weights by group or category |
| box_constraint | constructor for box_constraint. |
| CCCgarch.MM | compute comoments for use by lower level optimization... |
| center | Center |
| chart.Concentration | Classic risk reward scatter and concentration |
| chart.EfficientFrontier | Chart the efficient frontier and risk-return scatter |
| chart.EfficientFrontierOverlay | Plot multiple efficient frontiers |
| chart.GroupWeights | Chart weights by group or category |
| chart.RiskBudget | Generic method to chart risk contribution |
| chart.RiskReward | classic risk reward scatter |
| chart.Weights | boxplot of the weights of the optimal portfolios |
| chart.Weights.EF | Chart weights along an efficient frontier |
| check_constraints | check if a set of weights satisfies the constraints |
| cokurtosisMF | Cokurtosis Matrix Estimate |
| cokurtosisSF | Cokurtosis Matrix Estimate |
| combine.optimizations | Combine objects created by optimize.portfolio |
| combine.portfolios | Combine a list of portfolio objects |
| constrained_objective | calculate a numeric return value for a portfolio based on a... |
| constraint | constructor for class constraint |
| constraint_ROI | constructor for class constraint_ROI |
| constraint_v2 | constructor for v2 constraint specification |
| coskewnessMF | Coskewness Matrix Estimate |
| coskewnessSF | Coskewness Matrix Estimate |
| covarianceMF | Covariance Matrix Estimate |
| covarianceSF | Covariance Matrix Estimate |
| create.EfficientFrontier | create an efficient frontier |
| diversification | Function to compute diversification as a constraint |
| diversification_constraint | constructor for diversification_constraint |
| equal.weight | Create an equal weight portfolio |
| etl_milp_opt | Minimum ETL MILP Optimization |
| etl_opt | Minimum ETL LP Optimization |
| extractCokurtosis | Cokurtosis Estimate |
| extractCoskewness | Coskewness Estimate |
| extractCovariance | Covariance Estimate |
| extractEfficientFrontier | Extract the efficient frontier data points |
| extractGroups | Extract the group and/or category weights |
| extractObjectiveMeasures | Extract the objective measures |
| extractStats | extract some stats and weights from a portfolio run via... |
| extractWeights | Extract weights from a portfolio run via 'optimize.portfolio'... |
| factor_exposure_constraint | Constructor for factor exposure constraint |
| fn_map | mapping function to transform or penalize weights that... |
| generatesequence | create a sequence of possible weights for random or brute... |
| get_constraints | Helper function to get the enabled constraints out of the... |
| gmv_opt | GMV/QU QP Optimization |
| gmv_opt_ptc | GMV/QU QP Optimization with Proportional Transaction Cost... |
| gmv_opt_toc | GMV/QU QP Optimization with Turnover Constraint |
| group_constraint | constructor for group_constraint |
| group_fail | Test if group constraints have been violated |
| HHI | Concentration of weights |
| indexes | Six Major Economic Indexes |
| insert_constraints | Insert a list of constraints into the constraints slot of a... |
| insert_objectives | Insert a list of objectives into the objectives slot of a... |
| inverse.volatility.weight | Create an inverse volatility weighted portfolio |
| is.constraint | check function for constraints |
| is.objective | check class of an objective object |
| is.portfolio | check function for portfolio |
| leverage_exposure_constraint | constructor for leverage_exposure_constraint |
| maxret_milp_opt | Maximum Return MILP Optimization |
| maxret_opt | Maximum Return LP Optimization |
| meanetl.efficient.frontier | Generate the efficient frontier for a mean-etl portfolio |
| meanvar.efficient.frontier | Generate the efficient frontier for a mean-variance portfolio |
| minmax_objective | constructor for class tmp_minmax_objective |
| name.replace | utility function to replace awkward named from unlist |
| objective | constructor for class 'objective' |
| optimize.portfolio | Constrained optimization of portfolios |
| optimize.portfolio.parallel | execute multiple optimize.portfolio calls, presumably in... |
| optimize.portfolio.rebalancing | Portfolio Optimization with Rebalancing Periods |
| plot | plot method for objects of class 'optimize.portfolio' |
| PortfolioAnalytics-package | Numeric methods for optimization of portfolios |
| portfolio.moments.boudt | Portfolio Moments |
| portfolio_risk_objective | constructor for class portfolio_risk_objective |
| portfolio.spec | constructor for class portfolio |
| position_limit_constraint | constructor for position_limit_constraint |
| pos_limit_fail | function to check for violation of position limits... |
| print.constraint | print method for constraint objects |
| print.efficient.frontier | Print an efficient frontier object |
| print.optimize.portfolio | Printing output of optimize.portfolio |
| print.optimize.portfolio.rebalancing | Printing output of optimize.portfolio.rebalancing |
| print.portfolio | Printing Portfolio Specification Objects |
| print.summary.optimize.portfolio | Printing summary output of optimize.portfolio |
| print.summary.optimize.portfolio.rebalancing | Printing summary output of optimize.portfolio.rebalancing |
| quadratic_utility_objective | constructor for quadratic utility objective |
| randomize_portfolio | version 2 generate random permutations of a portfolio seed... |
| randomize_portfolio_v1 | Random portfolio sample method |
| random_portfolios | version 2 generate an arbitary number of constrained random... |
| random_portfolios_v1 | generate an arbitary number of constrained random portfolios |
| random_walk_portfolios | deprecated random portfolios wrapper until we write a random... |
| regime.portfolios | Regime Portfolios |
| return_constraint | constructor for return_constraint |
| return_objective | constructor for class return_objective |
| risk_budget_objective | constructor for class risk_budget_objective |
| rp_grid | Generate random portfolios based on grid search method |
| rp_sample | Generate random portfolios using the sample method |
| rp_simplex | Generate random portfolios using the simplex method |
| rp_transform | Transform a weights vector to satisfy leverage, box, group,... |
| scatterFUN | Apply a risk or return function to asset returns |
| set.portfolio.moments | set portfolio moments for use by lower level optimization... |
| set.portfolio.moments_v1 | set portfolio moments for use by lower level optimization... |
| statistical.factor.model | Statistical Factor Model |
| summary.efficient.frontier | Summarize an efficient frontier object |
| summary.optimize.portfolio | Summarizing output of optimize.portfolio |
| summary.optimize.portfolio.rebalancing | summary method for optimize.portfolio.rebalancing |
| summary.portfolio | Summarize Portfolio Specification Objects |
| trailingFUN | apply a function over a configurable trailing period |
| transaction_cost_constraint | constructor for transaction_cost_constraint |
| turnover | Calculates turnover given two vectors of weights. This is... |
| turnover_constraint | constructor for turnover_constraint |
| turnover_objective | constructor for class turnover_objective |
| update.constraint | function for updating constrints, not well tested, may be... |
| update_constraint_v1tov2 | Helper function to update v1_constraint objects to v2... |
| var.portfolio | Calculate portfolio variance |
| weight_concentration_objective | Constructor for weight concentration objective |
| weight_sum_constraint | constructor for weight_sum_constraint |
