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fPortfolio (version 3011.81)

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

3011.81

License

GPL (>= 2)

Maintainer

Tobias Setz

Last Published

October 30th, 2014

Functions in fPortfolio (3011.81)

portfolio-portfolioFrontier

Efficient Portfolio Frontier
frontier-points

Get Frontier Points
solver-ampl

AMPL Interface
fPFOLIOBACKTEST

Portfolio backtesting specifications
mathprog-QP

Mathematical Linear Programming
frontier-plot

Efficient Frontier Plot
portfolio-getData

Portfolio Data Extractor Functions
portfolio-setSpec

Settings for Specifications of Portfolios
portfolio-riskPfolio

Risk and Related Measures for Portfolios
risk-budgeting

Risk Budgeting
backtest-getMethods

Portfolio Backtest Extractors
methods-summary

summary-methods
weights-linePlot

Portfolio Weights Line Plots
portfolio-dataSets

portfolioData2
portfolio-portfolioSpec

Specification of Portfolios
fPFOLIODATA

Portfolio Data Handling
methods-plot

plot-methods
fPortfolio-package

Portfolio Design, Optimization and Backtesting
fPFOLIOVAL

Values of Portfolio Frontiers
solve-environment

Nonlinear Objective Presettings
portfolio-feasiblePortfolio

Feasible Portfolios
backtest-extractors

Portfolio backtest specification extractors
portfolio-constraints

Portfolio Constraints
weightsPlot

Portfolio Weights Bar Plots
solver-family

LP, QP, and NLP Programming Solvers
fPORTFOLIO

Portfolio Class
frontier-plotControl

Frontier Plot Control List
backtest-specification

Specification of portfolio backtesting
backtest-portfolio

Portfolio backtesting
backtest-constructors

Specification of backtesting portfolios
mathprog-NLP

Mathematical Non-Linear Programming
portfolio-getVal

PortfolioVal Extractor Functions
portfolio-getSpec

Portfolio Specification Extractor Functions
portfolio-covEstimator

Covariance Estimators
portfolio-getPortfolio

Portfolio Class Extractors
portfolio-efficientPortfolio

Efficient Portfolios
portfolio-getDefault

Extractor Functions
data-sets

Assets Data Sets
backtest-performance

Portfolio backtesting net performance
methods-show

Portfolio Print Methods
portfolio-rollingPortfolios

Rolling Portfolio
portfolio-pfolioRisk

portfolioRisk
risk-ternaryMap

Creates and Plots a Ternary Map
weights-piePlot

Portfolio Pie Plots
fPFOLIOCON

Portfolio Constraints Handling
backtest-plots

Portfolio backtesting plots
backtestStats

Rolling portfolio backtesting statistics
utils-methods

Print Method for Solvers
risk-surfaceRisk

Surface Risk Analytics
weights-Slider

Portfolio Weights Slider
fPFOLIOSPEC

Specification of Portfolios
backtest-functions

User defined functions to perform portfolio backtesting
monitor-stability

Monitoring Stability
mathprog-LP

Mathematical Linear Programming