momentum

model

n_momentum

n_momentum.short

<p><code>momentum</code> sets a new alpha for VaR and Expected Shortfall</p>

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

Ronald Hochreiter

portfolio.optimization

Contemporary Portfolio Optimization

momentum function

Set momentum parameters for a portfolio.model — momentum

Set momentum parameters for a portfolio.model

momentum: Set momentum parameters for a portfolio.model

Description

Usage

Arguments

Value