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fPortfolio (version 4023.84)
Rmetrics - Portfolio Selection and Optimization
Description
A collection of functions to optimize portfolios and to analyze them from different points of view.
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Version
Version
4023.84
3042.83.1
3042.83
3011.81
2130.80
2110.79
2100.78
2100.77
2100.76
290.75
280.74
280.73
260.72
251.70
240.10068
221.10065
220.10063
201.10060
201.10059
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Install
install.packages('fPortfolio')
Monthly Downloads
2,642
Version
4023.84
License
GPL (>= 2)
Maintainer
Stefan Theussl
Last Published
April 25th, 2023
Functions in fPortfolio (4023.84)
Search functions
backtest-plots
Portfolio backtesting plots
data-sets
Assets Data Sets
backtest-specification
Specification of portfolio backtesting
frontier-points
Get Frontier Points
frontier-plot
Efficient Frontier Plot
backtest-portfolio
Portfolio backtesting
frontier-plotControl
Frontier Plot Control List
backtestStats
Rolling portfolio backtesting statistics
backtest-performance
Portfolio backtesting net performance
backtest-getMethods
Portfolio Backtest Extractors
mathprog-NLP
Mathematical Non-Linear Programming
mathprog-LP
Mathematical Linear Programming
nlminb2Control
Control variables for Rnlminb2
methods-plot
plot-methods
methods-show
Portfolio Print Methods
mathprog-QP
Mathematical Linear Programming
nlminb2
Constrained nonlinear minimization
methods-summary
summary-methods
portfolio-constraints
Portfolio Constraints
monitor-stability
Monitoring Stability
portfolio-efficientPortfolio
Efficient Portfolios
portfolio-getDefault
Extractor Functions
portfolio-getSpec
Portfolio Specification Extractor Functions
portfolio-rollingPortfolios
Rolling Portfolio
portfolio-getData
Portfolio Data Extractor Functions
portfolio-covEstimator
Covariance Estimators
portfolio-setSpec
Settings for Specifications of Portfolios
portfolio-portfolioFrontier
Efficient Portfolio Frontier
risk-surfaceRisk
Surface Risk Analytics
portfolio-feasiblePortfolio
Feasible Portfolios
portfolio-dataSets
portfolioData2
portfolio-getPortfolio
Portfolio Class Extractors
portfolio-portfolioSpec
Specification of Portfolios
risk-ternaryMap
Creates and Plots a Ternary Map
risk-budgeting
Risk Budgeting
portfolio-getVal
PortfolioVal Extractor Functions
portfolio-pfolioRisk
portfolioRisk
utils-methods
Print Method for Solvers
solver-family
LP, QP, and NLP Programming Solvers
weights-piePlot
Portfolio Pie Plots
portfolio-riskPfolio
Risk and Related Measures for Portfolios
weights-linePlot
Portfolio Weights Line Plots
weightsPlot
Portfolio Weights Bar Plots
weights-Slider
Portfolio Weights Slider
solver-ampl
AMPL Interface
solve-environment
Nonlinear Objective Presettings
backtest-extractors
Portfolio backtest specification extractors
fPFOLIODATA
Portfolio Data Handling
fPortfolio-package
Portfolio Design, Optimization and Backtesting
fPORTFOLIO
Portfolio Class
fPFOLIOCON
Portfolio Constraints Handling
fPFOLIOBACKTEST
Portfolio backtesting specifications
fPFOLIOVAL
Values of Portfolio Frontiers
fPFOLIOSPEC
Specification of Portfolios
backtest-functions
User defined functions to perform portfolio backtesting
backtest-constructors
Specification of backtesting portfolios