portfolio.optimization-package |
Contemporary Portfolio Optimization |
active.extension |
Enable active extension portfolios |
alpha |
Set new alpha of a portfolio.model |
aux_portfolio.default |
Set portfolio.model default values |
aux_risk.alias |
Convert risk alias names to internal names |
aux_simulate.scenarios |
Simulate a multivariate-normal scenario.set |
l |
Return the loss distribution of the portfolio.model |
linear.constraint.eq |
Create or update a vector-based linear equality constraint set |
linear.constraint.iq |
Create or update a vector-based linear inequality constraint set |
long.only |
Disable active extension portfolios |
lower.bound |
Set lower bounds on assets |
momentum |
Set momentum parameters for a portfolio.model |
objective |
Set new objective of a portfolio.model |
opt.p |
Meta-function to optimize portfolios given a portfolio.model instance |
optimal.portfolio |
Meta-function to optimize portfolios given a portfolio.model instance |
optimal.portfolio.1overN |
1 over N portfolio |
optimal.portfolio.expected.shortfall |
Portfolio Optimization minimizing Conditional Value at Risk (CVaR) |
optimal.portfolio.expected.shortfall.long.short |
Portfolio Optimization minimizing Conditional Value at Risk (CVaR) with active extensions |
optimal.portfolio.mad |
Portfolio Optimization minimizing MAD |
optimal.portfolio.mad.long.short |
Portfolio Optimization minimizing MAD (Active Extension) |
optimal.portfolio.markowitz |
Portfolio Optimization minimizing Standard Deviation |
optimal.portfolio.momentum |
Momentum portfolio including momentum for active extensions |
optimal.portfolio.reward |
Compute maximum/minimum return portfolio given the constraints |
p.mo |
Create a portfolio.model instance (or fix an existing one) |
p.opt |
Meta-function to optimize portfolios given a portfolio.model instance |
po.tutorial |
Open a specific portfolio.optimization package tutorial |
portfolio |
Return the portfolio weights of a portfolio.model |
portfolio.loss |
Return the loss distribution of the portfolio.model |
portfolio.model |
Create a portfolio.model instance (or fix an existing one) |
portfolio.optimization |
Contemporary Portfolio Optimization |
portfolio.weights |
Return the portfolio weights of a portfolio.model |
print.portfolio.model |
Overload print() for portfolio.model |
scenario.set |
S&P 100 weekly stock returns 2017 of 30 stocks with the highest average trading volume over the whole year |
sp100w17 |
S&P 100 weekly stock returns 2017 |
sp100w17av |
S&P 100 average trading volume over the whole year 2017 |
sp100w17av30s |
S&P 100 weekly stock returns 2017 of 30 stocks with the highest average trading volume over the whole year |
upper.bound |
Set upper bounds on assets |
w |
Return the portfolio weights of a portfolio.model |
weights |
Return the portfolio weights of a portfolio.model |
x |
Return the portfolio weights of a portfolio.model |