Man pages for R-Finance/PortfolioAnalytics
Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

add.constraintGeneral interface for adding and/or updating optimization...
add.objectiveGeneral interface for adding optimization objectives,...
applyFUNApply a risk or return function to a set of weights
barplotGroupWeightsbarplot of group weights by group or category
box_constraintconstructor for box_constraint.
CCCgarch.MMcompute comoments for use by lower level optimization...
centerCenter
chart.ConcentrationClassic risk reward scatter and concentration
chart.EfficientFrontierChart the efficient frontier and risk-return scatter
chart.EfficientFrontierOverlayPlot multiple efficient frontiers
chart.GroupWeightsChart weights by group or category
chart.RiskBudgetGeneric method to chart risk contribution
chart.RiskRewardclassic risk reward scatter
chart.Weightsboxplot of the weights of the optimal portfolios
chart.Weights.EFChart weights along an efficient frontier
check_constraintscheck if a set of weights satisfies the constraints
cokurtosisMFCokurtosis Matrix Estimate
cokurtosisSFCokurtosis Matrix Estimate
combine.optimizationsCombine objects created by optimize.portfolio
combine.portfoliosCombine a list of portfolio objects
constrained_objectivecalculate a numeric return value for a portfolio based on a...
constraintconstructor for class constraint
constraint_ROIconstructor for class constraint_ROI
constraint_v2constructor for v2 constraint specification
coskewnessMFCoskewness Matrix Estimate
coskewnessSFCoskewness Matrix Estimate
covarianceMFCovariance Matrix Estimate
covarianceSFCovariance Matrix Estimate
create.EfficientFrontiercreate an efficient frontier
diversificationFunction to compute diversification as a constraint
diversification_constraintconstructor for diversification_constraint
equal.weightCreate an equal weight portfolio
etl_milp_optMinimum ETL MILP Optimization
etl_optMinimum ETL LP Optimization
extractCokurtosisCokurtosis Estimate
extractCoskewnessCoskewness Estimate
extractCovarianceCovariance Estimate
extractEfficientFrontierExtract the efficient frontier data points
extractGroupsExtract the group and/or category weights
extractObjectiveMeasuresExtract the objective measures
extractStatsextract some stats and weights from a portfolio run via...
extractWeightsExtract weights from a portfolio run via 'optimize.portfolio'...
factor_exposure_constraintConstructor for factor exposure constraint
fn_mapmapping function to transform or penalize weights that...
generatesequencecreate a sequence of possible weights for random or brute...
get_constraintsHelper function to get the enabled constraints out of the...
gmv_optGMV/QU QP Optimization
gmv_opt_ptcGMV/QU QP Optimization with Proportional Transaction Cost...
gmv_opt_tocGMV/QU QP Optimization with Turnover Constraint
group_constraintconstructor for group_constraint
group_failTest if group constraints have been violated
HHIConcentration of weights
indexesSix Major Economic Indexes
insert_constraintsInsert a list of constraints into the constraints slot of a...
insert_objectivesInsert a list of objectives into the objectives slot of a...
inverse.volatility.weightCreate an inverse volatility weighted portfolio
is.constraintcheck function for constraints
is.objectivecheck class of an objective object
is.portfoliocheck function for portfolio
leverage_exposure_constraintconstructor for leverage_exposure_constraint
maxret_milp_optMaximum Return MILP Optimization
maxret_optMaximum Return LP Optimization
meanetl.efficient.frontierGenerate the efficient frontier for a mean-etl portfolio
meanvar.efficient.frontierGenerate the efficient frontier for a mean-variance portfolio
minmax_objectiveconstructor for class tmp_minmax_objective
name.replaceutility function to replace awkward named from unlist
objectiveconstructor for class 'objective'
optimize.portfolioConstrained optimization of portfolios
optimize.portfolio.parallelexecute multiple optimize.portfolio calls, presumably in...
optimize.portfolio.rebalancingPortfolio Optimization with Rebalancing Periods
plotplot method for objects of class 'optimize.portfolio'
PortfolioAnalytics-packageNumeric methods for optimization of portfolios
portfolio.moments.boudtPortfolio Moments
portfolio_risk_objectiveconstructor for class portfolio_risk_objective
portfolio.specconstructor for class portfolio
position_limit_constraintconstructor for position_limit_constraint
pos_limit_failfunction to check for violation of position limits...
print.constraintprint method for constraint objects
print.efficient.frontierPrint an efficient frontier object
print.optimize.portfolioPrinting output of optimize.portfolio
print.optimize.portfolio.rebalancingPrinting output of optimize.portfolio.rebalancing
print.portfolioPrinting Portfolio Specification Objects
print.summary.optimize.portfolioPrinting summary output of optimize.portfolio
print.summary.optimize.portfolio.rebalancingPrinting summary output of optimize.portfolio.rebalancing
quadratic_utility_objectiveconstructor for quadratic utility objective
randomize_portfolioversion 2 generate random permutations of a portfolio seed...
randomize_portfolio_v1Random portfolio sample method
random_portfoliosversion 2 generate an arbitary number of constrained random...
random_portfolios_v1generate an arbitary number of constrained random portfolios
random_walk_portfoliosdeprecated random portfolios wrapper until we write a random...
regime.portfoliosRegime Portfolios
return_constraintconstructor for return_constraint
return_objectiveconstructor for class return_objective
risk_budget_objectiveconstructor for class risk_budget_objective
rp_gridGenerate random portfolios based on grid search method
rp_sampleGenerate random portfolios using the sample method
rp_simplexGenerate random portfolios using the simplex method
rp_transformTransform a weights vector to satisfy leverage, box, group,...
scatterFUNApply a risk or return function to asset returns
set.portfolio.momentsset portfolio moments for use by lower level optimization...
set.portfolio.moments_v1set portfolio moments for use by lower level optimization...
statistical.factor.modelStatistical Factor Model
summary.efficient.frontierSummarize an efficient frontier object
summary.optimize.portfolioSummarizing output of optimize.portfolio
summary.optimize.portfolio.rebalancingsummary method for optimize.portfolio.rebalancing
summary.portfolioSummarize Portfolio Specification Objects
trailingFUNapply a function over a configurable trailing period
transaction_cost_constraintconstructor for transaction_cost_constraint
turnoverCalculates turnover given two vectors of weights. This is...
turnover_constraintconstructor for turnover_constraint
turnover_objectiveconstructor for class turnover_objective
update.constraintfunction for updating constrints, not well tested, may be...
update_constraint_v1tov2Helper function to update v1_constraint objects to v2...
var.portfolioCalculate portfolio variance
weight_concentration_objectiveConstructor for weight concentration objective
weight_sum_constraintconstructor for weight_sum_constraint
R-Finance/PortfolioAnalytics documentation built on May 9, 2017, 8:47 p.m.