Portfolio Allocation and Risk Management Applications
The Covariance Matrix Adaptation Evolution Strategy (cmaes) Solver
NLP custom constraint functions
The parma package
Efficient Frontier Generator
Class "parmaPort"
Portfolio Allocation Model Solver
Class "parmaSpec"
Portfolio Allocation Model Specification
Utility Based Optimization
Portfolio Risk Measures
Second-order Cone Programming
Control Variables for Socp
SOCP: Initialising objective variable x in primal form
SOCP: Initialising objective variable z in dual form
Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.