PortfolioAnalytics2.1.1 package

Asset Ranking

General interface for adding and/or updating optimization constraints.

General interface for adding optimization objectives, including risk, ...

Add sub-portfolio

Apply a risk or return function to a set of weights

generate plots of the cumulative returns and drawdown for back-testing

barplot of group weights by group or category

Black Litterman Estimates

Computes the Black-Litterman formula for the moments of the posterior ...

constructor for box_constraint.

compute comoments for use by lower level optimization functions when t...

Center

Buckets Centroid

Complete Cases Centroid

Multiple Sectors Centroid

Positive and Negative View Centroid

Classic risk reward scatter and concentration

Chart weights along an efficient frontier

Chart the efficient frontier and risk-return scatter

Overlay the efficient frontiers of different minRisk portfolio objects...

Plot multiple efficient frontiers

Chart weights by group or category

Generic method to chart risk contribution

classic risk reward scatter

boxplot of the weights of the optimal portfolios

check if a set of weights satisfies the constraints

Cokurtosis Matrix Estimate

Cokurtosis Matrix Estimate

Combine objects created by optimize.portfolio

Combine a list of portfolio objects

calculate a numeric return value for a portfolio based on a set of con...

constructor for class constraint_ROI

constructors for class constraint

Coskewness Matrix Estimate

Coskewness Matrix Estimate

Covariance Matrix Estimate

Covariance Matrix Estimate

create an efficient frontier

Compute returns mean vector and covariance matrix with custom.covRob.M...

Compute returns mean vector and covariance matrix with custom.covRob.M...

Compute returns mean vector and covariance matrix with custom.covRob.R...

Compute returns mean vector and covariance matrix with custom.covRob.T...

constructor for diversification_constraint

Function to compute diversification as a constraint

Entropy pooling program for blending views on scenarios with a prior s...

Create an equal weight portfolio

Minimum ETL MILP Optimization

Minimum ETL LP Optimization

extract the risk value when knowing the weights

Cokurtosis Estimate

Coskewness Estimate

Covariance Estimate

Extract the efficient frontier data points

Extract the group and/or category weights

Extract the objective measures

extract some stats and weights from a portfolio run via `optimize.port...

Extract weights from a portfolio run via optimize.portfolio or `opti...

Constructor for factor exposure constraint

mapping function to transform or penalize weights that violate constra...

create a sequence of possible weights for random or brute force portfo...

Helper function to get the enabled constraints out of the portfolio ob...

GMV/QU QP Optimization with Turnover Constraint

GMV/QU QP Optimization with Proportional Transaction Cost Constraint

GMV/QU QP Optimization with Turnover Constraint

GMV/QU QP Optimization

constructor for group_constraint

Test if group constraints have been violated

Concentration of weights

Insert a list of constraints into the constraints slot of a portfolio ...

Insert a list of objectives into the objectives slot of a portfolio ob...

Create an inverse volatility weighted portfolio

check function for constraints

check class of an objective object

check function for portfolio

constructor for leverage_exposure_constraint

Maximum Return MILP Optimization

Maximum Return LP Optimization

Generate the efficient frontier for a mean-CSM portfolio

Generate the efficient frontier for a mean-etl portfolio

Generate multiple efficient frontiers for the same portfolio

Generate the efficient frontier for a mean-variance portfolio

Compute moments

Asset Ranking

constructor for class tmp_minmax_objective

Multple Layer Portfolio Specification

Control settings for custom.covRob.Mcd

Control settings for custom.covRob.TSGS

utility function to replace awkward named from unlist

constructor for class 'objective'

Optimal Portfolio Weights and Performance Values

Execute multiple optimize.portfolio calls, presumably in parallel

Constrained optimization of portfolios

Portfolio Optimization with Rebalancing Periods

Generates histogram

plot method for objects of class optimize.portfolio

Generate efficient frontiers plot by providing frontiers.

constructor for class portfolio_risk_objective

Portfolio Moments

Portfolio Moments

constructor for class portfolio

Numeric methods for optimization of portfolios

function to check for violation of position limits constraints

constructor for filter_constraint

print method for constraint objects

Print an efficient frontier object

Printing output of optimize.portfolio

Printing output of optimize.portfolio.rebalancing

Printing Portfolio Specification Objects

Printing summary output of optimize.portfolio

Printing summary output of optimize.portfolio.rebalancing

constructor for quadratic utility objective

generate an arbitary number of constrained random portfolios

version 2 generate an arbitary number of constrained random portfolios

deprecated random portfolios wrapper until we write a random trades fu...

Random portfolio sample method

version 2 generate random permutations of a portfolio seed meeting you...

Regime Portfolios

constructor for return_constraint

constructor for class return_objective

constructor for class risk_budget_objective

Generate random portfolios based on grid search method

Generate random portfolios using the sample method

Generate random portfolios using the simplex method

Transform a weights vector to satisfy constraints

Apply a risk or return function to asset returns

set portfolio moments for use by lower level optimization functions

Portfolio Moments

Statistical Factor Model

Summarize an efficient frontier object

Summarizing output of optimize.portfolio

summary method for optimize.portfolio.rebalancing

Summarize Portfolio Specification Objects

apply a function over a configurable trailing period

constructor for transaction_cost_constraint

constructor for turnover_constraint

constructor for class turnover_objective

Calculates turnover given two vectors of weights. This is used as an o...

Helper function to update v1_constraint objects to v2 specification in...

function for updating constrints, not well tested, may be broken

Calculate portfolio variance

Constructor for weight concentration objective

constructor for weight_sum_constraint