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fPortfolio (version 3042.83.1)

Rmetrics - Portfolio Selection and Optimization

Description

Provides a collection of functions to optimize portfolios and to analyze them from different points of view.

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Version

Install

install.packages('fPortfolio')

Monthly Downloads

1,319

Version

3042.83.1

License

GPL (>= 2)

Maintainer

Tobias Setz

Last Published

March 7th, 2020

Functions in fPortfolio (3042.83.1)

mathprog-QP

Mathematical Linear Programming
frontier-plotControl

Frontier Plot Control List
frontier-points

Get Frontier Points
methods-plot

plot-methods
backtest-performance

Portfolio backtesting net performance
backtest-plots

Portfolio backtesting plots
fPFOLIOBACKTEST

Portfolio backtesting specifications
methods-show

Portfolio Print Methods
fPFOLIOSPEC

Specification of Portfolios
backtest-functions

User defined functions to perform portfolio backtesting
backtest-specification

Specification of portfolio backtesting
backtest-extractors

Portfolio backtest specification extractors
backtestStats

Rolling portfolio backtesting statistics
methods-summary

summary-methods
portfolio-efficientPortfolio

Efficient Portfolios
solver-family

LP, QP, and NLP Programming Solvers
fPFOLIOVAL

Values of Portfolio Frontiers
monitor-stability

Monitoring Stability
portfolio-constraints

Portfolio Constraints
backtest-portfolio

Portfolio backtesting
mathprog-NLP

Mathematical Non-Linear Programming
portfolio-covEstimator

Covariance Estimators
portfolio-getDefault

Extractor Functions
portfolio-feasiblePortfolio

Feasible Portfolios
mathprog-LP

Mathematical Linear Programming
portfolio-getData

Portfolio Data Extractor Functions
portfolio-rollingPortfolios

Rolling Portfolio
data-sets

Assets Data Sets
frontier-plot

Efficient Frontier Plot
portfolio-setSpec

Settings for Specifications of Portfolios
portfolio-portfolioFrontier

Efficient Portfolio Frontier
portfolio-dataSets

portfolioData2
portfolio-getSpec

Portfolio Specification Extractor Functions
risk-ternaryMap

Creates and Plots a Ternary Map
utils-methods

Print Method for Solvers
portfolio-getPortfolio

Portfolio Class Extractors
solver-ampl

AMPL Interface
weights-linePlot

Portfolio Weights Line Plots
weights-Slider

Portfolio Weights Slider
weights-piePlot

Portfolio Pie Plots
risk-surfaceRisk

Surface Risk Analytics
solve-environment

Nonlinear Objective Presettings
risk-budgeting

Risk Budgeting
portfolio-getVal

PortfolioVal Extractor Functions
portfolio-pfolioRisk

portfolioRisk
weightsPlot

Portfolio Weights Bar Plots
portfolio-riskPfolio

Risk and Related Measures for Portfolios
portfolio-portfolioSpec

Specification of Portfolios
fPortfolio-package

Portfolio Design, Optimization and Backtesting
fPFOLIODATA

Portfolio Data Handling
backtest-constructors

Specification of backtesting portfolios
fPFOLIOCON

Portfolio Constraints Handling
backtest-getMethods

Portfolio Backtest Extractors
fPORTFOLIO

Portfolio Class