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PortfolioAnalytics (version 1.0.3636)

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

Portfolio optimization and analysis routines and graphics.

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Version

Install

install.packages('PortfolioAnalytics')

Monthly Downloads

3,040

Version

1.0.3636

License

GPL

Maintainer

Brian G Peterson

Last Published

April 19th, 2015

Functions in PortfolioAnalytics (1.0.3636)

ac.ranking

Asset Ranking
create.EfficientFrontier

create an efficient frontier
center

Center
cokurtosisMF

Cokurtosis Matrix Estimate
constraint_ROI

constructor for class constraint_ROI
constrained_objective

calculate a numeric return value for a portfolio based on a set of constraints and objectives
randomize_portfolio_v2

version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset
insert_constraints

Insert a list of constraints into the constraints slot of a portfolio object
add.objective

General interface for adding optimization objectives, including risk, return, and risk budget
extractCokurtosis

Cokurtosis Estimate
is.portfolio

check function for portfolio
position_limit_constraint

constructor for position_limit_constraint
centroid.sectors

Multiple Sectors Centroid
PortfolioAnalytics-package

Numeric methods for optimization of portfolios
trailingFUN

apply a function over a configurable trailing period
extractCoskewness

Coskewness Estimate
diversification_constraint

constructor for diversification_constraint
group_fail

Test if group constraints have been violated
check_constraints

check if a set of weights satisfies the constraints
gmv_opt_leverage

GMV/QU QP Optimization with Turnover Constraint
var.portfolio

Calculate portfolio variance
minmax_objective

constructor for class tmp_minmax_objective
chart.EfficientFrontier

Chart the efficient frontier and risk-return scatter
leverage_exposure_constraint

constructor for leverage_exposure_constraint
print.optimize.portfolio.ROI

Printing output of optimize.portfolio
barplotGroupWeights

barplot of group weights by group or category
print.constraint

print method for constraint objects
coskewnessMF

Coskewness Matrix Estimate
cokurtosisSF

Cokurtosis Matrix Estimate
meucci.moments

Compute moments
constraint

constructor for class constraint
regime.portfolios

Regime Portfolios
group_constraint

constructor for group_constraint
extractObjectiveMeasures

Extract the objective measures
optimize.portfolio

Constrained optimization of portfolios
random_portfolios_v2

version 2 generate an arbitary number of constrained random portfolios
extractEfficientFrontier

Extract the efficient frontier data points
generatesequence

create a sequence of possible weights for random or brute force portfolios
objective

constructor for class 'objective'
diversification

Function to compute diversification as a constraint
return_constraint

constructor for return_constraint
box_constraint

constructor for box_constraint.
combine.portfolios

Combine a list of portfolio objects
meanvar.efficient.frontier

Generate the efficient frontier for a mean-variance portfolio
is.constraint

check function for constraints
centroid.complete.mc

Complete Cases Centroid
scatterFUN

Apply a risk or return function to asset returns
black.litterman

Black Litterman Estimates
chart.EfficientFrontierOverlay

Plot multiple efficient frontiers
pos_limit_fail

function to check for violation of position limits constraints
weight_concentration_objective

Constructor for weight concentration objective
portfolio.moments.boudt

Portfolio Moments
EntropyProg

Entropy pooling program for blending views on scenarios with a prior scenario-probability distribution
update_constraint_v1tov2

Helper function to update v1_constraint objects to v2 specification in the portfolio object
quadratic_utility_objective

constructor for quadratic utility objective
fn_map

mapping function to transform or penalize weights that violate constraints
get_constraints

Helper function to get the enabled constraints out of the portfolio object
portfolio.spec

constructor for class portfolio
random_portfolios_v1

generate an arbitary number of constrained random portfolios
etl_opt

Minimum ETL LP Optimization
summary.portfolio

Summarize Portfolio Specification Objects
turnover_objective

constructor for class turnover_objective
portfolio.moments.bl

Portfolio Moments
gmv_opt_toc

GMV/QU QP Optimization with Turnover Constraint
rp_simplex

Generate random portfolios using the simplex method
is.objective

check class of an objective object
coskewnessSF

Coskewness Matrix Estimate
randomize_portfolio_v1

Random portfolio sample method
turnover

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective
turnover_constraint

constructor for turnover_constraint
gmv_opt_ptc

GMV/QU QP Optimization with Proportional Transaction Cost Constraint
maxret_milp_opt

Maximum Return MILP Optimization
HHI

Concentration of weights
rp_transform

Transform a weights vector to satisfy constraints
extractStats

extract some stats and weights from a portfolio run via optimize.portfolio
optimize.portfolio.parallel

Execute multiple optimize.portfolio calls, presumably in parallel
return_objective

constructor for class return_objective
plot.optimize.portfolio.DEoptim

plot method for objects of class optimize.portfolio
add.sub.portfolio

Add sub-portfolio
extractWeights

Extract weights from a portfolio run via optimize.portfolio or optimize.portfolio.rebalancing
chart.Concentration

Classic risk reward scatter and concentration
statistical.factor.model

Statistical Factor Model
optimize.portfolio.rebalancing

Portfolio Optimization with Rebalancing Periods
transaction_cost_constraint

constructor for transaction_cost_constraint
summary.efficient.frontier

Summarize an efficient frontier object
chart.GroupWeights

Chart weights by group or category
name.replace

utility function to replace awkward named from unlist
centroid.sign

Positive and Negative View Centroid
maxret_opt

Maximum Return LP Optimization
BlackLittermanFormula

Computes the Black-Litterman formula for the moments of the posterior normal.
chart.Weights

boxplot of the weights of the optimal portfolios
CCCgarch.MM

compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model
print.summary.optimize.portfolio

Printing summary output of optimize.portfolio
print.portfolio

Printing Portfolio Specification Objects
extractCovariance

Covariance Estimate
constraint_v2

constructor for v2 constraint specification
risk_budget_objective

constructor for class risk_budget_objective
applyFUN

Apply a risk or return function to a set of weights
chart.RiskReward

classic risk reward scatter
print.optimize.portfolio.rebalancing

Printing output of optimize.portfolio.rebalancing
covarianceMF

Covariance Matrix Estimate
portfolio_risk_objective

constructor for class portfolio_risk_objective
meanetl.efficient.frontier

Generate the efficient frontier for a mean-etl portfolio
centroid.buckets

Buckets Centroid
add.constraint

General interface for adding and/or updating optimization constraints.
summary.optimize.portfolio.rebalancing

summary method for optimize.portfolio.rebalancing
weight_sum_constraint

constructor for weight_sum_constraint
rp_grid

Generate random portfolios based on grid search method
indexes

Six Major Economic Indexes
rp_sample

Generate random portfolios using the sample method
chart.RiskBudget

Generic method to chart risk contribution
combine.optimizations

Combine objects created by optimize.portfolio
chart.EF.Weights

Chart weights along an efficient frontier
random_walk_portfolios

deprecated random portfolios wrapper until we write a random trades function
equal.weight

Create an equal weight portfolio
insert_objectives

Insert a list of objectives into the objectives slot of a portfolio object
gmv_opt

GMV/QU QP Optimization
summary.optimize.portfolio

Summarizing output of optimize.portfolio
mult.portfolio.spec

Multple Layer Portfolio Specification
factor_exposure_constraint

Constructor for factor exposure constraint
covarianceSF

Covariance Matrix Estimate
set.portfolio.moments_v2

Portfolio Moments
inverse.volatility.weight

Create an inverse volatility weighted portfolio
meucci.ranking

Asset Ranking
update.constraint

function for updating constrints, not well tested, may be broken
print.efficient.frontier

Print an efficient frontier object
print.summary.optimize.portfolio.rebalancing

Printing summary output of optimize.portfolio.rebalancing
extractGroups

Extract the group and/or category weights
etl_milp_opt

Minimum ETL MILP Optimization
set.portfolio.moments_v1

set portfolio moments for use by lower level optimization functions