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fPortfolio (version 251.70)

Rmetrics - Portfolio Selection and Optimization

Description

Environment for teaching "Financial Engineering and Computational Finance"

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Version

Install

install.packages('fPortfolio')

Monthly Downloads

1,319

Version

251.70

License

GPL Version 2 or later

Maintainer

Diethelm Wuertz

Last Published

April 25th, 2023

Functions in fPortfolio (251.70)

PortfolioData

Portfolio Data Handling
AssetsMeanCovariances

Estimation of Mean and Covariances of Asset Sets
PortfolioPlots

Portfolio Plots
PortfolioDataSets

fPortfolio Data Sets
PortfolioSolver

Portfolio Solver
PortfolioSpecExtractors

Portfolio Specification Extractors
AssetsPlots

Plots of Multivariate Asset Sets
PortfolioClass

Portfolio Class
Extractors

Extractors
VaRModelling

Value-at-Risk Measures for Portfolios
AssetsLPM

Estimation of Lower Partial Moments of Asset Sets
Portfolio

Portfolio Modelling, Optimization and Benchmarking
AssetsModelling

Modelling of Multivariate Asset Sets
AssetsTests

Testing Multivariate Asset Sets
AssetsSelection

Selecting Assets from Multivariate Asset Sets
PortfolioClassExtractors

Portfolio Class Extractors
DrawdownStatistics

Drawdown Statistics
PortfolioExampleData

Example Portfolio Example Data Sets
RollingPortfolio

Rolling Portfolio
PortfolioSpec

Specification of Portfolios
PortfolioConstraints

Portfolio Constraints
PortfolioDataExtractors

Portfolio Data Extractors