fPortfolio: Rmetrics - Portfolio Selection and Optimization

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Environment for teaching "Financial Engineering and Computational Finance".

Author
Rmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Date of publication
2016-04-14 13:30:01
Maintainer
Tobias Setz <tobias.setz@rmetrics.org>
License
GPL (>= 2)
Version
3022.82
URLs

View on R-Forge

Man pages

00fPortfolio-package
Portfolio Design, Optimization and Backtesting
a-class-fPFOLIOBACKTEST
Portfolio backtesting specifications
a-class-fPFOLIOCON
Portfolio Constraints Handling
a-class-fPFOLIODATA
Portfolio Data Handling
a-class-fPFOLIOSPEC
Specification of Portfolios
a-class-fPFOLIOVAL
Values of Portfolio Frontiers
a-class-fPORTFOLIO
Portfolio Class
backtest-constructors
Specification of backtesting portfolios
backtest-extractors
Portfolio backtest specification extractors
backtest-functions
User defined functions to perform portfolio backtesting
backtest-getMethods
Portfolio Backtest Extractors
backtest-performance
Portfolio backtesting net performance
backtest-plots
Portfolio backtesting plots
backtest-portfolios
Portfolio backtesting
backtest-specification
Specification of portfolio backtesting
backtest-statisitics
Rolling portfolio backtesting statistics
data-sets
Assets Data Sets
frontier-Plot
Efficient Frontier Plot
frontier-PlotControl
Frontier Plot Control List
frontier-Points
Get Frontier Points
mathprog-LP
Mathematical Linear Programming
mathprog-NLP
Mathematical Non-Linear Programming
mathprog-QP
Mathematical Linear Programming
methods-plot
plot-methods
methods-show
Portfolio Print Methods
methods-summary
summary-methods
monitor-stability
Monitoring Stability
portfolio-Constraints
Portfolio Constraints
portfolio-covEstimator
Covariance Estimators
portfolio-Data
portfolioData2
portfolio-efficientPfolio
Efficient Portfolios
portfolio-feasiblePfolio
Feasible Portfolios
portfolio-Frontier
Efficient Portfolio Frontier
portfolio-getData
Portfolio Data Extractor Functions
portfolio-getDefault
Extractor Functions
portfolio-getPortfolio
Portfolio Class Extractors
portfolio-getSpec
Portfolio Specification Extractor Functions
portfolio-getVal
PortfolioVal Extractor Functions
portfolio-pfolioRisk
portfolioRisk
portfolio-portfolioSpec
Specification of Portfolios
portfolio-riskPfolio
Risk and Related Measures for Portfolios
portfolio-Rolling
Rolling Portfolio
portfolio-setSpec
Settings for Specifications of Portfolios
risk-budgeting
Risk Budgeting
risk-surfaceRisk
Surface Risk Analytics
risk-ternaryMap
Creates and Plots a Ternary Map
solve-environment
Nonlinear Objective Presettings
solver-ampl
AMPL Interface
solver-rfamily
LP, QP, and NLP Programming Solvers
utils-methods
Print Method for Solvers
weights-barPlots
Portfolio Weights Bar Plots
weights-linePlots
Portfolio Weights Line Plots
weights-piePlots
Portfolio Pie Plots
weights-Slider
Portfolio Weights Slider

Files in this package

fPortfolio/ChangeLog
fPortfolio/DESCRIPTION
fPortfolio/NAMESPACE
fPortfolio/R
fPortfolio/R/00RmetricsPortfolio-package.R
fPortfolio/R/a-class-fPFOLIOBACKTEST.R
fPortfolio/R/a-class-fPFOLIOCON.R
fPortfolio/R/a-class-fPFOLIODATA.R
fPortfolio/R/a-class-fPFOLIOSPEC.R
fPortfolio/R/a-class-fPFOLIOVAL.R
fPortfolio/R/a-class-fPORTFOLIO.R
fPortfolio/R/backtest-Plots.R
fPortfolio/R/backtest-defaultFunctions.R
fPortfolio/R/backtest-getBacktestSpec.R
fPortfolio/R/backtest-getMethods.R
fPortfolio/R/backtest-methodsShow.R
fPortfolio/R/backtest-netPerformance.R
fPortfolio/R/backtest-pfolioBacktestSpec.R
fPortfolio/R/backtest-pfolioBacktesting.R
fPortfolio/R/backtest-rollingStats.R
fPortfolio/R/backtest-setBacktestSpec.R
fPortfolio/R/frontier-getPoints.R
fPortfolio/R/frontier-portfolioPlots.R
fPortfolio/R/frontier-weightPlots.R
fPortfolio/R/mathprogLP-ampl.R
fPortfolio/R/mathprogLP-glpk.R
fPortfolio/R/mathprogLP-neos.R
fPortfolio/R/mathprogLP-symphony.R
fPortfolio/R/mathprogLP.R
fPortfolio/R/mathprogNLP-ampl.R
fPortfolio/R/mathprogNLP-donlp2.R
fPortfolio/R/mathprogNLP-nlminb2.R
fPortfolio/R/mathprogNLP-solnp.R
fPortfolio/R/mathprogNLP.R
fPortfolio/R/mathprogQP-ampl.R
fPortfolio/R/mathprogQP-ipop.R
fPortfolio/R/mathprogQP-kestrel.R
fPortfolio/R/mathprogQP-neos.R
fPortfolio/R/mathprogQP-quadprog.R
fPortfolio/R/mathprogQP.R
fPortfolio/R/methods-mathprog.R
fPortfolio/R/methods-plot.R
fPortfolio/R/methods-show.R
fPortfolio/R/methods-summary.R
fPortfolio/R/monitor-indicators.R
fPortfolio/R/monitor-stability.R
fPortfolio/R/object-getData.R
fPortfolio/R/object-getPortfolio.R
fPortfolio/R/object-getPortfolioVal.R
fPortfolio/R/object-getSpec.R
fPortfolio/R/object-getUseMethods.R
fPortfolio/R/object-portfolioConstraints.R
fPortfolio/R/object-portfolioData.R
fPortfolio/R/object-portfolioSpec.R
fPortfolio/R/object-setSpec.R
fPortfolio/R/plot-vaniniFig.R
fPortfolio/R/plot-weightsLines.R
fPortfolio/R/plot-weightsPies.R
fPortfolio/R/plot-weightsPlots.R
fPortfolio/R/plot-weightsSlider.R
fPortfolio/R/portfolio-efficientFrontier.R
fPortfolio/R/portfolio-efficientPfolio.R
fPortfolio/R/portfolio-feasiblePfolio.R
fPortfolio/R/portfolio-riskPfolio.R
fPortfolio/R/portfolio-rollingPfolio.R
fPortfolio/R/risk-budgeting.R
fPortfolio/R/risk-covEstimator.R
fPortfolio/R/risk-pfolioMeasures.R
fPortfolio/R/risk-surfaceRisk.R
fPortfolio/R/risk-tailBudgets.R
fPortfolio/R/risk-ternaryMap.R
fPortfolio/R/solve-Rampl.R
fPortfolio/R/solve-Rdonlp2.R
fPortfolio/R/solve-RglpkMAD.R
fPortfolio/R/solve-RglpkVAR.R
fPortfolio/R/solve-Ripop.R
fPortfolio/R/solve-Rquadprog.R
fPortfolio/R/solve-RquadprogCLA.R
fPortfolio/R/solve-RshortExact.R
fPortfolio/R/solve-Rsocp.R
fPortfolio/R/solve-Rsolnp.R
fPortfolio/R/solve-RtwoAssets.R
fPortfolio/R/solve-environment.R
fPortfolio/R/utils-NLPgeneral.R
fPortfolio/R/utils-amplExec.R
fPortfolio/R/utils-amplExtractors.R
fPortfolio/R/utils-amplInterface.R
fPortfolio/R/utils-amplLibrary.R
fPortfolio/R/utils-exampleData.R
fPortfolio/R/utils-methods.R
fPortfolio/R/utils-specs.R
fPortfolio/R/zzz.R
fPortfolio/data
fPortfolio/data/ECON85.csv.xz
fPortfolio/data/ECON85LONG.csv.xz
fPortfolio/data/GCCINDEX.RET.rda
fPortfolio/data/GCCINDEX.rda
fPortfolio/data/LPP2005.RET.rda
fPortfolio/data/LPP2005.rda
fPortfolio/data/SMALLCAP.RET.rda
fPortfolio/data/SMALLCAP.rda
fPortfolio/data/SPISECTOR.RET.rda
fPortfolio/data/SPISECTOR.rda
fPortfolio/data/SWX.RET.rda
fPortfolio/data/SWX.rda
fPortfolio/inst
fPortfolio/inst/LICENSE_AMPL
fPortfolio/inst/LICENSE_DONLP2
fPortfolio/inst/LICENSE_GLPK
fPortfolio/inst/LICENSE_QUADPROG
fPortfolio/inst/LICENSE_SOCP
fPortfolio/inst/LICENSE_SOLNP
fPortfolio/inst/ReferenceCard.txt
fPortfolio/inst/obsolete
fPortfolio/inst/obsolete/zzz.Deprecated.R
fPortfolio/man
fPortfolio/man/00fPortfolio-package.Rd
fPortfolio/man/a-class-fPFOLIOBACKTEST.Rd
fPortfolio/man/a-class-fPFOLIOCON.Rd
fPortfolio/man/a-class-fPFOLIODATA.Rd
fPortfolio/man/a-class-fPFOLIOSPEC.Rd
fPortfolio/man/a-class-fPFOLIOVAL.Rd
fPortfolio/man/a-class-fPORTFOLIO.Rd
fPortfolio/man/backtest-constructors.Rd
fPortfolio/man/backtest-extractors.Rd
fPortfolio/man/backtest-functions.Rd
fPortfolio/man/backtest-getMethods.Rd
fPortfolio/man/backtest-performance.Rd
fPortfolio/man/backtest-plots.Rd
fPortfolio/man/backtest-portfolios.Rd
fPortfolio/man/backtest-specification.Rd
fPortfolio/man/backtest-statisitics.Rd
fPortfolio/man/data-sets.Rd
fPortfolio/man/frontier-Plot.Rd
fPortfolio/man/frontier-PlotControl.Rd
fPortfolio/man/frontier-Points.Rd
fPortfolio/man/mathprog-LP.Rd
fPortfolio/man/mathprog-NLP.Rd
fPortfolio/man/mathprog-QP.Rd
fPortfolio/man/methods-plot.Rd
fPortfolio/man/methods-show.Rd
fPortfolio/man/methods-summary.Rd
fPortfolio/man/monitor-stability.Rd
fPortfolio/man/portfolio-Constraints.Rd
fPortfolio/man/portfolio-Data.Rd
fPortfolio/man/portfolio-Frontier.Rd
fPortfolio/man/portfolio-Rolling.Rd
fPortfolio/man/portfolio-covEstimator.Rd
fPortfolio/man/portfolio-efficientPfolio.Rd
fPortfolio/man/portfolio-feasiblePfolio.Rd
fPortfolio/man/portfolio-getData.Rd
fPortfolio/man/portfolio-getDefault.Rd
fPortfolio/man/portfolio-getPortfolio.Rd
fPortfolio/man/portfolio-getSpec.Rd
fPortfolio/man/portfolio-getVal.Rd
fPortfolio/man/portfolio-pfolioRisk.Rd
fPortfolio/man/portfolio-portfolioSpec.Rd
fPortfolio/man/portfolio-riskPfolio.Rd
fPortfolio/man/portfolio-setSpec.Rd
fPortfolio/man/risk-budgeting.Rd
fPortfolio/man/risk-surfaceRisk.Rd
fPortfolio/man/risk-ternaryMap.Rd
fPortfolio/man/solve-environment.Rd
fPortfolio/man/solver-ampl.Rd
fPortfolio/man/solver-rfamily.Rd
fPortfolio/man/utils-methods.Rd
fPortfolio/man/weights-Slider.Rd
fPortfolio/man/weights-barPlots.Rd
fPortfolio/man/weights-linePlots.Rd
fPortfolio/man/weights-piePlots.Rd