CRAN/E | PortfolioOptim

PortfolioOptim

Small/Large Sample Portfolio Optimization

Installation

About

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

Key Metrics

Version 1.1.1
R ≥ 3.3.0
Published 2019-02-07 1994 days ago
Needs compilation? no
License GNU General Public License version 3
CRAN checks PortfolioOptim results

Downloads

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Maintainer

Maintainer

Andrzej Palczewski

Authors

Andrzej Palczewski

aut / cre

Aleksandra Dabrowska

ctb

Material

Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

PortfolioOptim archive

Depends

R ≥ 3.3.0

Imports

Rsymphony

Suggests

mvtnorm
Rglpk
testthat