Contemporary Portfolio Optimization
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Documentation for package ‘portfolio.optimization’ version 1.0-0
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| 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 |