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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
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
3011.81
License
GPL (>= 2)
Maintainer
Tobias Setz
Last Published
October 30th, 2014
Functions in fPortfolio (3011.81)
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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