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The portfolio allocation and risk managament applications (parma) package contains a unique set of methods and models for the optimal allocation of capital in financial portfolios. It uniquely represents certain discontinuous problems using their smooth approximation counterparts and implements fractional based programming for the direct optimization of risk-to-reward ratios. In combination with the rmgarch package, it enables the confident solution to scenario based optimization problems using such risk and deviation measures as Mean Absolute Deviation (MAD), Variance (EV), Minimax, Conditional Value at Risk (CVaR), Conditional Drawdown at Risk (CDaR) and Lower Partial Moments (LPM). In addition, it implements moment based optimization for use with the quadratic EV problem, and a higher moment CARA utility expansion using the coskewness and cokurtosis matrices generated from the GO-GARCH with affine GH or NIG distributions. Benchmark relative optimization (tracking error) is also implemented as are basic mixed integer cardinality constraints. Finally, for non-convex problem formulations such as the upper to lower partial moments function, global optimization methods using a penalty based method are available.

The stable version is on CRAN.

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Last Published

August 25th, 2016

Functions in parma (1.5-3)