fPortfolio-package {fPortfolio} | R Documentation |
The Rmetrics "fPortfolio" package is a very powerful collection of functions to optimize portfolios and to analyze them from different points ov view.
The implemented portfolio models include the traditional mean–variance Markowitz portfolio, robust variants of the Markowitz portfoio, and the mean-CVaR conditional value-at-Risk portfolio.
Optimization is possible by minimizing the risk if the return is specified.
Linear box/group constraints can be specified.
Depending on the model of the portfolio and the constraints a QP (quadratic programming) and a LP (linear programming) solver are provided for optimization
Several kinds of charts can be produced using graphics tools to visualize the results.
Package: | fPortfolio |
Type: | Package |
Date: | 2009 |
License: | GPL Version 2 or later |
Copyright: | (c) 1999-2008 Diethelm Wuertz and Rmetrics Association |
URL: | http://www.rmetrics.org |
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.