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PortfolioOptim (version 1.1.1)

Small/Large Sample Portfolio Optimization

Description

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

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Install

install.packages('PortfolioOptim')

Monthly Downloads

186

Version

1.1.1

License

GNU General Public License version 3

Maintainer

Andrzej Palczewski

Last Published

February 7th, 2019

Functions in PortfolioOptim (1.1.1)

.ZI_projection

Computes the solution of the linear program \(\min c^{T} x\) for \(Ax = b\), \(x \ge 0\)
.RISK_post

Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities
.make_diag

Makes a diagonal matrix with values from x
BDportfolio_optim

Portfolio Optimization by Benders decomposition
PortfolioOptimProjection

Portfolio optimization which finds an optimal portfolio with the smallest distance to a benchmark.
.F_func

Auxiliary function used by .ZI_projection