fPortfolio: Rmetrics - Portfolio Selection and Optimization

Environment for teaching "Financial Engineering and Computational Finance".

AuthorRmetrics Core Team, Diethelm Wuertz [aut], Tobias Setz [cre], Yohan Chalabi [ctb]
Date of publication2016-04-14 13:30:01
MaintainerTobias Setz <tobias.setz@rmetrics.org>
LicenseGPL (>= 2)
Version3022.82
https://www.rmetrics.org

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

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