PortfolioAnalytics v1.1.0

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Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Portfolio optimization and analysis routines and graphics.

Functions in PortfolioAnalytics

Name Description
center Center
coskewnessMF Coskewness Matrix Estimate
chart.RiskReward classic risk reward scatter
create.EfficientFrontier create an efficient frontier
diversification Function to compute diversification as a constraint
insert_objectives Insert a list of objectives into the objectives slot of a portfolio object
gmv_opt_leverage GMV/QU QP Optimization with Turnover Constraint
gmv_opt GMV/QU QP Optimization
ac.ranking Asset Ranking
chart.Concentration Classic risk reward scatter and concentration
chart.EfficientFrontierOverlay Plot multiple efficient frontiers
chart.EF.Weights Chart weights along an efficient frontier
black.litterman Black Litterman Estimates
covarianceMF Covariance Matrix Estimate
chart.EfficientFrontier Chart the efficient frontier and risk-return scatter
chart.Weights boxplot of the weights of the optimal portfolios
coskewnessSF Coskewness Matrix Estimate
extractCokurtosis Cokurtosis Estimate
extractGroups Extract the group and/or category weights
PortfolioAnalytics-package Numeric methods for optimization of portfolios
covarianceSF Covariance Matrix Estimate
check_constraints check if a set of weights satisfies the constraints
extractObjectiveMeasures Extract the objective measures
diversification_constraint constructor for diversification_constraint
equal.weight Create an equal weight portfolio
is.portfolio check function for portfolio
get_constraints Helper function to get the enabled constraints out of the portfolio object When the v1_constraint object is instantiated via constraint, the arguments min_sum, max_sum, min, and max are either specified by the user or default values are assigned. These are required by other functions such as optimize.portfolio and constrained_objective . This function will check that these variables are in the portfolio object in the constraints list. We will default to min_sum=1 and max_sum=1 if leverage constraints are not specified. We will default to min=-Inf and max=Inf if box constraints are not specified. This function is used at the beginning of optimize.portfolio and other functions to extract the constraints from the portfolio object. We Use the same naming as the v1_constraint object.
generatesequence create a sequence of possible weights for random or brute force portfolios
leverage_exposure_constraint constructor for leverage_exposure_constraint
inverse.volatility.weight Create an inverse volatility weighted portfolio
cokurtosisMF Cokurtosis Matrix Estimate
combine.portfolios Combine a list of portfolio objects
maxret_milp_opt Maximum Return MILP Optimization
constraint_ROI constructor for class constraint_ROI
extractStats extract some stats and weights from a portfolio run via optimize.portfolio
constraint_v1 constructors for class constraint
meucci.moments Compute moments
meucci.ranking Asset Ranking
indexes Six Major Economic Indexes
extractWeights Extract weights from a portfolio run via optimize.portfolio or optimize.portfolio.rebalancing
etl_milp_opt Minimum ETL MILP Optimization
constrained_objective calculate a numeric return value for a portfolio based on a set of constraints and objectives
optimize.portfolio.rebalancing Portfolio Optimization with Rebalancing Periods
etl_opt Minimum ETL LP Optimization
group_constraint constructor for group_constraint
group_fail Test if group constraints have been violated
extractCovariance Covariance Estimate
extractEfficientFrontier Extract the efficient frontier data points
extractCoskewness Coskewness Estimate
gmv_opt_ptc GMV/QU QP Optimization with Proportional Transaction Cost Constraint
maxret_opt Maximum Return LP Optimization
portfolio.moments.boudt Portfolio Moments
gmv_opt_toc GMV/QU QP Optimization with Turnover Constraint
minmax_objective constructor for class tmp_minmax_objective
insert_constraints Insert a list of constraints into the constraints slot of a portfolio object
print.optimize.portfolio.rebalancing Printing output of optimize.portfolio.rebalancing
pHist Generates histogram
portfolio.spec constructor for class portfolio
factor_exposure_constraint Constructor for factor exposure constraint
fn_map mapping function to transform or penalize weights that violate constraints
name.replace utility function to replace awkward named from unlist
mult.portfolio.spec Multple Layer Portfolio Specification
randomize_portfolio_v1 Random portfolio sample method
randomize_portfolio version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset
pos_limit_fail function to check for violation of position limits constraints
quadratic_utility_objective constructor for quadratic utility objective
is.objective check class of an objective object
is.constraint check function for constraints
trailingFUN apply a function over a configurable trailing period
random_portfolios version 2 generate an arbitary number of constrained random portfolios
portfolio_risk_objective constructor for class portfolio_risk_objective
objective constructor for class 'objective'
print.portfolio Printing Portfolio Specification Objects
regime.portfolios Regime Portfolios
random_portfolios_v1 generate an arbitary number of constrained random portfolios
transaction_cost_constraint constructor for transaction_cost_constraint
return_constraint constructor for return_constraint
optimize.portfolio Constrained optimization of portfolios
random_walk_portfolios deprecated random portfolios wrapper until we write a random trades function
summary.portfolio Summarize Portfolio Specification Objects
print.constraint print method for constraint objects
position_limit_constraint constructor for position_limit_constraint
summary.optimize.portfolio.rebalancing summary method for optimize.portfolio.rebalancing
summary.efficient.frontier Summarize an efficient frontier object
meanetl.efficient.frontier Generate the efficient frontier for a mean-etl portfolio
update_constraint_v1tov2 Helper function to update v1_constraint objects to v2 specification in the portfolio object
summary.optimize.portfolio Summarizing output of optimize.portfolio
var.portfolio Calculate portfolio variance
turnover_objective constructor for class turnover_objective
meanvar.efficient.frontier Generate the efficient frontier for a mean-variance portfolio
portfolio.moments.bl Portfolio Moments
plot.optimize.portfolio.DEoptim plot method for objects of class optimize.portfolio
print.efficient.frontier Print an efficient frontier object
scatterFUN Apply a risk or return function to asset returns
optimize.portfolio.parallel Execute multiple optimize.portfolio calls, presumably in parallel
update.constraint function for updating constrints, not well tested, may be broken
print.summary.optimize.portfolio Printing summary output of optimize.portfolio
print.summary.optimize.portfolio.rebalancing Printing summary output of optimize.portfolio.rebalancing
set.portfolio.moments Portfolio Moments
rp_sample Generate random portfolios using the sample method
rp_grid Generate random portfolios based on grid search method
print.optimize.portfolio.ROI Printing output of optimize.portfolio
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
rp_simplex Generate random portfolios using the simplex method
turnover_constraint constructor for turnover_constraint
return_objective constructor for class return_objective
risk_budget_objective constructor for class risk_budget_objective
rp_transform Transform a weights vector to satisfy constraints
set.portfolio.moments_v1 set portfolio moments for use by lower level optimization functions
statistical.factor.model Statistical Factor Model
weight_concentration_objective Constructor for weight concentration objective
weight_sum_constraint constructor for weight_sum_constraint
HHI Concentration of weights
EntropyProg Entropy pooling program for blending views on scenarios with a prior scenario-probability distribution
add.sub.portfolio Add sub-portfolio
centroid.buckets Buckets Centroid
applyFUN Apply a risk or return function to a set of weights
centroid.complete.mc Complete Cases Centroid
barplotGroupWeights barplot of group weights by group or category
chart.GroupWeights Chart weights by group or category
centroid.sectors Multiple Sectors Centroid
add.objective General interface for adding optimization objectives, including risk, return, and risk budget
centroid.sign Positive and Negative View Centroid
add.constraint General interface for adding and/or updating optimization constraints.
chart.RiskBudget Generic method to chart risk contribution
cokurtosisSF Cokurtosis Matrix Estimate
combine.optimizations Combine objects created by optimize.portfolio
BlackLittermanFormula Computes the Black-Litterman formula for the moments of the posterior normal.
CCCgarch.MM compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model
box_constraint constructor for box_constraint.
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Vignettes of PortfolioAnalytics

Name
PA.bib
ROI_vignette.Rnw
custom_moments_objectives.Rnw
portfolio_vignette.Rnw
risk_budget_optimization.Rnw
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