CRAN/E | PortfolioAnalytics

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Installation

About

Portfolio optimization and analysis routines and graphics.

github.com/braverock/PortfolioAnalytics
Copyright (c) 2004-2018

Key Metrics

Version 1.1.0
R ≥ 3.3.0
Published 2018-05-17 2171 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks PortfolioAnalytics results

Downloads

Yesterday 142 0%
Last 7 days 641 -33%
Last 30 days 2.774 +22%
Last 90 days 7.120 +2%
Last 365 days 25.072 +9%

Maintainer

Maintainer

Brian G. Peterson

brian@braverock.com

Authors

Brian G. Peterson

cre / aut / cph

Peter Carl

aut / cph

Kris Boudt

ctb / cph

Ross Bennett

ctb / cph

Hezky Varon

ctb

Guy Yollin

ctb

R. Douglas Martin

ctb

Material

README
Reference manual
Package source

Vignettes

Portfolio Optimization with ROI in PortfolioAnalytics
Custom Moment and Objective Functions
An Introduction to Portfolio Optimization with PortfolioAnalytics
Portfolio Optimization with CVaR budgets in PortfolioAnalytics

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

PortfolioAnalytics archive

Depends

R ≥ 3.3.0
zoo
xts ≥ 0.10-1
foreach
PerformanceAnalytics ≥ 1.5.1

Imports

methods

Suggests

quantmod
DEoptim ≥ 2.2.1
iterators
fGarch
Rglpk
quadprog
ROI ≥ 0.1.0
ROI.plugin.glpk ≥ 0.0.2
ROI.plugin.quadprog ≥ 0.0.2
ROI.plugin.symphony ≥ 0.0.2
pso
GenSA
corpcor
testthat
nloptr ≥ 1.0.0
MASS
robustbase

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