fPortfolio-package: Portfolio Modelling, Optimization and Backtesting
Description
The Rmetrics "fPortfolio" package is a very powerful collection
of functions to optimize portfolios and to analyze them from
different points ov view.
The implemented portfolio models include the traditional
mean--variance Markowitz portfolio, robust variants of
the Markowitz portfoio, and the mean-CVaR conditional
value-at-Risk portfolio.
Optimization is possible by minimizing the risk if the return
is specified.
Linear box/group constraints can be specified.
Depending on the model of the portfolio and the constraints
a QP (quadratic programming) and a LP (linear programming)
solver are provided for optimization
Several kinds of charts can be produced using graphics
tools to visualize the results.Details
ll{
Package: fPortfolio
Type: Package
Date: 2009
License: GPL Version 2 or later
Copyright: (c) 1999-2008 Diethelm Wuertz and Rmetrics Association
URL: http://www.rmetrics.org
}References
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
Portfolio Optimization with R/Rmetrics,
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.