{ "_id": "6a113ed7acfb0bcc41ce624b", "Package": "fPortfolio", "Title": "Rmetrics - Portfolio Selection and Optimization", "Version": "4023.84.9000", "Authors@R": "c( person(\"Diethelm\", \"Wuertz\", role = \"aut\"), person(\"Tobias\", \"Setz\", role = \"aut\"),\nperson(\"Yohan\", \"Chalabi\", role = \"aut\"), person(\"William\", \"Chen\", role = \"ctb\"),\nperson(\"Stefan\", \"Theussl\", role = c(\"aut\", \"cre\"), email = \"Stefan.Theussl@R-project.org\") )", "Description": "A collection of functions to optimize portfolios and to\nanalyze them from different points of view. If the suggested\npackage 'bcp' is not availble from CRAN, it can be installed\nfrom the archive, e.g.\n.", "Additional_repositories": "https://r-forge.r-project.org/", "LazyData": "yes", "License": "GPL (>= 2)", "URL": "https://r-forge.r-project.org/projects/rmetrics/", "Config/pak/sysreqs": "libglpk-dev make libgsl0-dev libxml2-dev", "Repository": "https://r-forge.r-universe.dev", "Date/Publication": "2026-02-21 23:23:40 UTC", "RemoteUrl": "https://github.com/r-forge/rmetrics", "RemoteRef": "HEAD", "RemoteSha": "d8bc4aeb583742e52170b581b908108e0282bf7b", "RemoteSubdir": "pkg/fPortfolio", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-23 05:40:23 UTC", "User": "root" }, "Author": "Diethelm Wuertz [aut],\nTobias Setz [aut],\nYohan Chalabi [aut],\nWilliam Chen [ctb],\nStefan Theussl [aut, cre]", "Maintainer": "Stefan Theussl ", "MD5sum": "831092c701c0d7a337d7711fa0e1db15", "_user": "r-forge", "_type": "src", "_file": "fPortfolio_4023.84.9000.tar.gz", "_fileid": "d88a36fd679805a47c4d902e5d6cc2357e52fc29bce8643708b4a30d5d5e2b5d", "_filesize": 1044242, "_sha256": "d88a36fd679805a47c4d902e5d6cc2357e52fc29bce8643708b4a30d5d5e2b5d", "_created": "2026-05-23T05:40:23.000Z", "_published": "2026-05-23T05:44:55.915Z", "_distro": "noble", "_jobs": [ { "job": 77500543230, "time": 229, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7174647313" }, { "job": 77500543242, "time": 215, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7174645569" }, { "job": 77500543233, "time": 163, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7174639405" }, { "job": 77500543240, "time": 154, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7174638257" }, { "job": 77500291447, "time": 253, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7174620295" }, { "job": 77500543225, "time": 181, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7174641361" }, { "job": 77500543238, "time": 208, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7174644596" }, { "job": 77500543263, "time": 155, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7174638612" }, { "job": 77500543268, "time": 181, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7174641499" } ], "_buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/r-forge/rmetrics", "_commit": { "id": "d8bc4aeb583742e52170b581b908108e0282bf7b", "author": "paulsmith (Paul Smith) ", "committer": "paulsmith (Paul Smith) ", "message": "fCopulae: Update version and adding Authors@R\n\ngit-svn-id: svn://svn.r-forge.r-project.org/svnroot/rmetrics@6567 5d4a7380-5c0c-0410-b446-d4a5018c0119\n", "time": 1771716220 }, "_maintainer": { "name": "Stefan Theussl", "email": "stefan.theussl@r-project.org", "login": "theussl", "description": "", "uuid": 22165873 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 2.15.1", "role": "Depends" }, { "package": "timeDate", "role": "Depends" }, { "package": "timeSeries", "role": "Depends" }, { "package": "fBasics", "role": "Depends" }, { "package": "fAssets", "role": "Depends" }, { "package": "fCopulae", "role": "Imports" }, { "package": "robustbase", "role": "Imports" }, { "package": "MASS", "role": "Imports" }, { "package": "Rglpk", "role": "Imports" }, { "package": "slam", "role": "Imports" }, { "package": "Rsolnp", "role": "Imports" }, { "package": "quadprog", "role": "Imports" }, { "package": "kernlab", "role": "Imports" }, { "package": "rneos", "role": "Imports" }, { "package": "methods", "role": "Imports" }, { "package": "grDevices", "role": "Imports" }, { "package": "graphics", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "utils", "role": "Imports" }, { "package": "parma", "role": "Suggests" }, { "package": "Rsymphony", "role": "Suggests" }, { "package": "dplR", "role": "Suggests" }, { "package": "bcp", "role": "Suggests" }, { "package": "fGarch", "role": "Suggests" }, { "package": "mvoutlier", "role": "Suggests" } ], "_owner": "r-forge", "_selfowned": true, "_usedby": 2, "_updates": [ { "week": "2025-42", "n": 2 }, { "week": "2025-43", "n": 4 }, { "week": "2025-46", "n": 1 }, { "week": "2025-49", "n": 3 }, { "week": "2025-50", "n": 7 }, { "week": "2025-51", "n": 6 }, { "week": "2026-05", "n": 9 }, { "week": "2026-06", "n": 1 }, { "week": "2026-08", "n": 2 } ], "_tags": [], "_stars": 1, "_contributors": [ { "user": "dsco036", "count": 257, "uuid": 2948028 }, { "user": "dutangc", "count": 205, "uuid": 6387382 }, { "user": "luethid", "count": 117, "uuid": 4797193 }, { "user": "mmaechler", "count": 97, "uuid": 995722 }, { "user": "lmsstudios", "count": 60, "uuid": 97995137 }, { "user": "fgochez", "count": 59, "uuid": 1199970 }, { "user": "theussl", "count": 20, "uuid": 22165873 }, { "user": "msperlin", "count": 12, "uuid": 10583352 }, { "user": "waternumbers", "count": 12, "uuid": 29105940 }, { "user": "paulnorthrop", "count": 7, "uuid": 22778905 }, { "user": "pchausse", "count": 4, "uuid": 1143385 }, { "user": "awellis", "count": 3, "uuid": 94028 }, { "user": "bpfaff", "count": 2, "uuid": 10076912 }, { "user": "lephille", "count": 1, "uuid": 15719744 }, { "user": "stefanwilhelm", "count": 1, "uuid": 8960498 } ], "_userbio": { "uuid": 75573726, "type": "organization", "name": " R-Forge", "description": "git-svn mirrors from R-Forge" }, "_downloads": { "count": 1572, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/fPortfolio" }, "_devurl": "https://github.com/r-forge/rmetrics", "_searchresults": 216, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/fPortfolio.html", "manual.pdf" ], "_homeurl": "https://github.com/r-forge/rmetrics", "_realowner": "r-forge", "_cranurl": true, "_releases": [ { "version": "201.10059", "date": "2005-04-20" }, { "version": "201.10060", "date": "2005-05-18" }, { "version": "220.10063", "date": "2005-11-02" }, { "version": "221.10065", "date": "2006-02-23" }, { "version": "240.10068", "date": "2007-06-28" }, { "version": "251.70", "date": "2007-07-10" }, { "version": "260.72", "date": "2007-10-08" }, { "version": "280.73", "date": "2008-10-23" }, { "version": "280.74", "date": "2008-10-27" }, { "version": "290.75", "date": "2009-04-16" }, { "version": "2100.76", "date": "2009-04-17" }, { "version": "2100.77", "date": "2009-04-20" }, { "version": "2100.78", "date": "2009-09-28" }, { "version": "2110.79", "date": "2010-04-17" }, { "version": "2130.80", "date": "2011-02-10" }, { "version": "3011.81", "date": "2014-10-30" }, { "version": "3042.83", "date": "2017-11-16" }, { "version": "3042.83.1", "date": "2020-03-07" }, { "version": "4023.84", "date": "2023-04-25" } ], "_exports": [ ".fportfolio.plot.1", ".fportfolio.plot.2", ".fportfolio.plot.3", ".fportfolio.plot.4", ".fportfolio.plot.5", ".fportfolio.plot.6", ".fportfolio.plot.7", ".fportfolio.plot.8", "addRainbow", "amplDataAdd", "amplDataAddMatrix", "amplDataAddValue", "amplDataAddVector", "amplDataOpen", "amplDataSemicolon", "amplDataShow", "amplLP", "amplLPControl", "amplModelAdd", "amplModelOpen", "amplModelShow", "amplNLP", "amplNLPControl", "amplOutShow", "amplQP", "amplQPControl", "amplRunAdd", "amplRunOpen", "amplRunShow", "backtestAssetsPlot", "backtestDrawdownPlot", "backtestPlot", "backtestPortfolioPlot", "backtestRebalancePlot", "backtestReportPlot", "backtestStats", "backtestWeightsPlot", "bcpAnalytics", "budgetsModifiedES", "budgetsModifiedVAR", "budgetsNormalES", "budgetsNormalVAR", "budgetsSampleCOV", "cmlLines", "cmlPoints", "covEstimator", "covMcdEstimator", "covOGKEstimator", "covRisk", "covRiskBudgetsLinePlot", "covRiskBudgetsPie", "covRiskBudgetsPlot", "cvarRisk", "Data", "drawdownsAnalytics", "efficientPortfolio", "emaSmoother", "eqsumWConstraints", "equalWeightsPoints", "equidistWindows", "feasibleGrid", "feasiblePortfolio", "frontierPlot", "frontierPlotControl", "frontierPoints", "garchAnalytics", "getA", "getA.fPFOLIOSPEC", "getA.fPORTFOLIO", "getAlpha", "getAlpha.fPFOLIOSPEC", "getAlpha.fPFOLIOVAL", "getAlpha.fPORTFOLIO", "getConstraints", "getConstraints.fPORTFOLIO", "getConstraintsTypes", "getControl", "getControl.fPFOLIOSPEC", "getControl.fPORTFOLIO", "getCov", "getCov.fPFOLIODATA", "getCov.fPORTFOLIO", "getCovRiskBudgets", "getCovRiskBudgets.fPFOLIOVAL", "getCovRiskBudgets.fPORTFOLIO", "getData", "getData.fPFOLIODATA", "getData.fPORTFOLIO", "getEstimator", "getEstimator.fPFOLIODATA", "getEstimator.fPFOLIOSPEC", "getEstimator.fPORTFOLIO", "getMean", "getMean.fPFOLIODATA", "getMean.fPORTFOLIO", "getMessages", "getMessages.fPFOLIOBACKTEST", "getMessages.fPFOLIOSPEC", "getModel.fPFOLIOSPEC", "getModel.fPORTFOLIO", "getMu", "getMu.fPFOLIODATA", "getMu.fPORTFOLIO", "getNAssets", "getNAssets.fPFOLIODATA", "getNAssets.fPORTFOLIO", "getNFrontierPoints", "getNFrontierPoints.fPFOLIOSPEC", "getNFrontierPoints.fPFOLIOVAL", "getNFrontierPoints.fPORTFOLIO", "getObjective", "getObjective.fPFOLIOSPEC", "getObjective.fPORTFOLIO", "getOptim", "getOptim.fPFOLIOSPEC", "getOptim.fPORTFOLIO", "getOptimize", "getOptimize.fPFOLIOSPEC", "getOptimize.fPORTFOLIO", "getOptions", "getOptions.fPFOLIOSPEC", "getOptions.fPORTFOLIO", "getParams", "getParams.fPFOLIOSPEC", "getParams.fPORTFOLIO", "getPortfolio", "getPortfolio.fPFOLIOSPEC", "getPortfolio.fPFOLIOVAL", "getPortfolio.fPORTFOLIO", "getRiskFreeRate", "getRiskFreeRate.fPFOLIOSPEC", "getRiskFreeRate.fPFOLIOVAL", "getRiskFreeRate.fPORTFOLIO", "getSeries", "getSeries.fPFOLIODATA", "getSeries.fPORTFOLIO", "getSigma", "getSigma.fPFOLIODATA", "getSigma.fPORTFOLIO", "getSmoother", "getSmoother.fPFOLIOBACKTEST", "getSmootherDoubleSmoothing", "getSmootherDoubleSmoothing.fPFOLIOBACKTEST", "getSmootherFun", "getSmootherFun.fPFOLIOBACKTEST", "getSmootherInitialWeights", "getSmootherInitialWeights.fPFOLIOBACKTEST", "getSmootherLambda", "getSmootherLambda.fPFOLIOBACKTEST", "getSmootherParams", "getSmootherParams.fPFOLIOBACKTEST", "getSmootherSkip", "getSmootherSkip.fPFOLIOBACKTEST", "getSolver", "getSolver.fPFOLIOSPEC", "getSolver.fPORTFOLIO", "getSpec", "getSpec.fPORTFOLIO", "getStatistics", "getStatistics.fPFOLIODATA", "getStatistics.fPORTFOLIO", "getStatus", "getStatus.fPFOLIOSPEC", "getStatus.fPFOLIOVAL", "getStatus.fPORTFOLIO", "getStrategy", "getStrategy.fPFOLIOBACKTEST", "getStrategyFun", "getStrategyFun.fPFOLIOBACKTEST", "getStrategyParams", "getStrategyParams.fPFOLIOBACKTEST", "getTailRisk", "getTailRisk.fPFOLIODATA", "getTailRisk.fPFOLIOSPEC", "getTailRisk.fPORTFOLIO", "getTailRiskBudgets", "getTailRiskBudgets.fPORTFOLIO", "getTargetReturn", "getTargetReturn.fPFOLIOSPEC", "getTargetReturn.fPFOLIOVAL", "getTargetReturn.fPORTFOLIO", "getTargetRisk", "getTargetRisk.fPFOLIOSPEC", "getTargetRisk.fPFOLIOVAL", "getTargetRisk.fPORTFOLIO", "getTrace", "getTrace.fPFOLIOSPEC", "getTrace.fPORTFOLIO", "getType", "getType.fPFOLIOSPEC", "getType.fPORTFOLIO", "getUnits.fPFOLIODATA", "getUnits.fPORTFOLIO", "getWeights", "getWeights.fPFOLIOSPEC", "getWeights.fPFOLIOVAL", "getWeights.fPORTFOLIO", "getWindows", "getWindows.fPFOLIOBACKTEST", "getWindowsFun", "getWindowsFun.fPFOLIOBACKTEST", "getWindowsHorizon", "getWindowsHorizon.fPFOLIOBACKTEST", "getWindowsParams", "getWindowsParams.fPFOLIOBACKTEST", "glpkLP", "glpkLPControl", "ipopQP", "ipopQPControl", "kendallEstimator", "kestrelQP", "kestrelQPControl", "lambdaCVaR", "listFConstraints", "lpmEstimator", "markowitzHull", "maxBConstraints", "maxBuyinConstraints", "maxCardConstraints", "maxddMap", "maxFConstraints", "maxratioPortfolio", "maxreturnPortfolio", "maxsumWConstraints", "maxWConstraints", "mcdEstimator", "minBConstraints", "minBuyinConstraints", "minCardConstraints", "minFConstraints", "minriskPortfolio", "minsumWConstraints", "minvariancePoints", "minvariancePortfolio", "minWConstraints", "modifiedVaR", "monteCarloPoints", "mveEstimator", "nCardConstraints", "neosLP", "neosLPControl", "neosQP", "neosQPControl", "netPerformance", "nlminb2", "nlminb2Control", "nlminb2NLP", "nlminb2NLPControl", "nnveEstimator", "normalVaR", "parAnalytics", "pcoutAnalytics", "pfolioCVaR", "pfolioCVaRoptim", "pfolioCVaRplus", "pfolioHist", "pfolioMaxLoss", "pfolioReturn", "pfolioTargetReturn", "pfolioTargetRisk", "pfolioVaR", "plot.fPORTFOLIO", "portfolioBacktest", "portfolioBacktesting", "portfolioConstraints", "portfolioData", "portfolioFrontier", "portfolioObjective", "portfolioReturn", "portfolioRisk", "portfolioSmoothing", "portfolioSpec", "print.solver", "quadprogQP", "quadprogQPControl", "ramplLP", "ramplNLP", "ramplQP", "rglpkLP", "ripop", "ripopQP", "riskBudgetsPlot", "riskMap", "riskmetricsAnalytics", "rkestrelQP", "rneosLP", "rneosQP", "rnlminb2", "rnlminb2NLP", "rollingCDaR", "rollingCmlPortfolio", "rollingCVaR", "rollingDaR", "rollingMinvariancePortfolio", "rollingPortfolioFrontier", "rollingSigma", "rollingTangencyPortfolio", "rollingVaR", "rollingWindows", "rquadprog", "rquadprogQP", "rsolnpNLP", "rsolveLP", "rsolveQP", "rsymphonyLP", "sampleCOV", "sampleVaR", "setAlpha<-", "setEstimator<-", "setNFrontierPoints<-", "setObjective<-", "setOptimize<-", "setParams<-", "setRiskFreeRate<-", "setSmootherDoubleSmoothing<-", "setSmootherFun<-", "setSmootherInitialWeights<-", "setSmootherLambda<-", "setSmootherParams<-", "setSmootherSkip<-", "setSolver<-", "setStatus<-", "setStrategyFun<-", "setStrategyParams<-", "setTailRisk<-", "setTargetReturn<-", "setTargetRisk<-", "setTrace<-", "setType<-", "setWeights<-", "setWindowsFun<-", "setWindowsHorizon<-", "setWindowsParams<-", "sharpeRatioLines", "shrinkEstimator", "singleAssetPoints", "slpmEstimator", "solnpNLP", "solnpNLPControl", "solveRampl.CVAR", "solveRampl.MV", "solveRglpk.CVAR", "solveRglpk.MAD", "solveRipop", "solveRquadprog", "solveRquadprog.CLA", "solveRshortExact", "solveRsocp", "solveRsolnp", "spearmanEstimator", "stabilityAnalytics", "summary.fPORTFOLIO", "symphonyLP", "symphonyLPControl", "tailoredFrontierPlot", "tailRiskBudgetsPie", "tailRiskBudgetsPlot", "tangencyLines", "tangencyPoints", "tangencyPortfolio", "tangencyStrategy", "ternaryCoord", "ternaryFrontier", "ternaryMap", "ternaryPoints", "ternaryWeights", "turnsAnalytics", "twoAssetsLines", "varRisk", "waveletSpectrum", "weightedReturnsLinePlot", "weightedReturnsPie", "weightedReturnsPlot", "weightsLinePlot", "weightsPie", "weightsPlot", "weightsSlider" ], "_datasets": [ { "name": "ECON85", "title": "Assets Data Sets", "object": "ECON85", "class": [ "data.frame" ], "fields": [ "X.Y..m..d", "SPI85", "SBI85", "SXI85", "IBOR85", "LPP25P", "LPP40P", "LPP60P", "MSCIW.USD", "CHF.USD", "WTI.USD", "CFNAI.CUM" ], "rows": 304, "table": true, "tojson": true }, { "name": "ECON85LONG", "title": "Assets Data Sets", "object": "ECON85LONG", "class": [ "data.frame" ], "fields": [ "X.Y..m..d", "SPI85", "SBI85", "SXI85", "IBOR85", "LPP25P", "LPP40P", "LPP60P", "MSCIW.USD", "CHF.USD", "WTI.USD", "CFNAI.CUM", "GOLDFIX.USD", "EUR.CHF", "GBP.CHF", "USD.CHF", "JPY.CHF", "SDR.CHF", "RUEDIF" ], "rows": 304, "table": true, "tojson": true }, { "name": "GCCINDEX", "title": "Assets Data Sets", "object": "GCCINDEX", "class": [ "timeSeries" ], "fields": [ "BAHDSC", "BAHSC", "KUWDSC", "OMADSC", "OMASC", "KSADSC", "UAEDSC", "UAESC", "QATSC", "GCCEXSASC", "GCCSC" ], "rows": 825, "table": true, "tojson": false }, { "name": "GCCINDEX.RET", "title": "Assets Data Sets", "object": "GCCINDEX.RET", "class": [ "timeSeries" ], "fields": [ "BAHDSC", "BAHSC", "KUWDSC", "OMADSC", "OMASC", "KSADSC", "UAEDSC", "UAESC", "QATSC", "GCCEXSASC", "GCCSC" ], "rows": 824, "table": true, "tojson": false }, { "name": "LPP2005", "title": "Assets Data Sets", "object": "LPP2005", "class": [ "timeSeries" ], "fields": [ "SBI", "SPI", "SII", "LMI", "MPI", "ALT", "LPP25", "LPP40", "LPP60" ], "rows": 377, "table": true, "tojson": false }, { "name": "LPP2005.RET", "title": "Assets Data Sets", "object": "LPP2005.RET", "class": [ "timeSeries" ], "fields": [ "SBI", "SPI", "SII", "LMI", "MPI", "ALT", "LPP25", "LPP40", "LPP60" ], "rows": 377, "table": true, "tojson": false }, { "name": "SMALLCAP", "title": "Assets Data Sets", "object": "SMALLCAP", "class": [ "timeSeries" ], "fields": [ "MODI", "MGF", "MEE", "FCEL", "OII", "SEB", "RML", "AEOS", "BRC", "CTC", "TNL", "IBC", "KWD", "TOPP", "RARE", "HAR", "BKE", "GG", "GYMB", "KRON", "MARKET", "T90" ], "rows": 60, "table": true, "tojson": false }, { "name": "SMALLCAP.RET", "title": "Assets Data Sets", "object": "SMALLCAP.RET", "class": [ "timeSeries" ], "fields": [ "MODI", "MGF", "MEE", "FCEL", "OII", "SEB", "RML", "AEOS", "BRC", "CTC", "TNL", "IBC", "KWD", "TOPP", "RARE", "HAR", "BKE", "GG", "GYMB", "KRON", "MARKET", "T90" ], "rows": 60, "table": true, "tojson": false }, { "name": "SPISECTOR", "title": "Assets Data Sets", "object": "SPISECTOR", "class": [ "timeSeries" ], "fields": [ "SPI", "BASI", "INDU", "CONG", "HLTH", "CONS", "TELE", "UTIL", "FINA", "TECH" ], "rows": 2216, "table": true, "tojson": false }, { "name": "SPISECTOR.RET", "title": "Assets Data Sets", "object": "SPISECTOR.RET", "class": [ "timeSeries" ], "fields": [ "SPI", "BASI", "INDU", "CONG", "HLTH", "CONS", "TELE", "UTIL", "FINA", "TECH" ], "rows": 2198, "table": true, "tojson": false }, { "name": "SWX", "title": "Assets Data Sets", "object": "SWX", "class": [ "timeSeries" ], "fields": [ "SBI", "SPI", "SII", "LP25", "LP40", "LP60" ], "rows": 1917, "table": true, "tojson": false }, { "name": "SWX.RET", "title": "Assets Data Sets", "object": "SWX.RET", "class": [ "timeSeries" ], "fields": [ "SBI", "SPI", "SII", "LP25", "LP40", "LP60" ], "rows": 1916, "table": true, "tojson": false } ], "_help": [ { "page": "00fPortfolio-package", "title": "Portfolio Design, Optimization and Backtesting", "topics": [ "fPortfolio" ] }, { "page": "backtest-constructors", "title": "Specification of backtesting portfolios", "topics": [ "setBacktest", "setSmootherDoubleSmoothing<-", "setSmootherFun<-", "setSmootherInitialWeights<-", "setSmootherLambda<-", "setSmootherParams<-", "setSmootherSkip<-", "setStrategyFun<-", "setStrategyParams<-", "setWindowsFun<-", "setWindowsHorizon<-", "setWindowsParams<-" ] }, { "page": "backtest-extractors", "title": "Portfolio backtest specification extractors", "topics": [ "getMessages.fPFOLIOBACKTEST", "getSmoother.fPFOLIOBACKTEST", "getSmootherDoubleSmoothing.fPFOLIOBACKTEST", "getSmootherFun.fPFOLIOBACKTEST", "getSmootherInitialWeights.fPFOLIOBACKTEST", "getSmootherLambda.fPFOLIOBACKTEST", "getSmootherParams.fPFOLIOBACKTEST", "getSmootherSkip.fPFOLIOBACKTEST", "getStrategy.fPFOLIOBACKTEST", "getStrategyFun.fPFOLIOBACKTEST", "getStrategyParams.fPFOLIOBACKTEST", "getWindows.fPFOLIOBACKTEST", "getWindowsFun.fPFOLIOBACKTEST", "getWindowsHorizon.fPFOLIOBACKTEST", "getWindowsParams.fPFOLIOBACKTEST" ] }, { "page": "backtest-functions", "title": "User defined functions to perform portfolio backtesting", "topics": [ "emaSmoother", "equidistWindows", "tangencyStrategy" ] }, { "page": "backtest-getMethods", "title": "Portfolio Backtest Extractors", "topics": [ "getSmoother", "getSmootherDoubleSmoothing", "getSmootherFun", "getSmootherInitialWeights", "getSmootherLambda", "getSmootherParams", "getSmootherSkip", "getStrategy", "getStrategyFun", "getStrategyParams", "getWindows", "getWindowsFun", "getWindowsHorizon", "getWindowsParams" ] }, { "page": "backtest-performance", "title": "Portfolio backtesting net performance", "topics": [ "netPerformance" ] }, { "page": "backtest-plots", "title": "Portfolio backtesting plots", "topics": [ "backtestAssetsPlot", "backtestDrawdownPlot", "backtestPlot", "backtestPortfolioPlot", "backtestRebalancePlot", "backtestReportPlot", "backtestWeightsPlot" ] }, { "page": "backtest-portfolios", "title": "Portfolio backtesting", "topics": [ "portfolioBacktesting", "portfolioSmoothing" ] }, { "page": "backtest-specification", "title": "Specification of portfolio backtesting", "topics": [ "portfolioBacktest" ] }, { "page": "backtest-statisitics", "title": "Rolling portfolio backtesting statistics", "topics": [ "backtestStats", "rollingCDaR", "rollingCVaR", "rollingDaR", "rollingRiskBudgets", "rollingSigma", "rollingVaR" ] }, { "page": "data-sets", "title": "Assets Data Sets", "topics": [ "dataSets", "ECON85", "ECON85LONG", "GCCINDEX", "GCCINDEX.DF", "GCCINDEX.RET", "LPP2005", "LPP2005.RET", "LPP2005.RET.DF", "SMALLCAP", "SMALLCAP.RET", "SMALLCAP.RET.DF", "SPISECTOR", "SPISECTOR.DF", "SPISECTOR.RET", "SWX", "SWX.DF", "SWX.RET" ] }, { "page": "a-class-fPFOLIOBACKTEST", "title": "Portfolio backtesting specifications", "topics": [ "class-fPFOLIOBACKTEST", "fPFOLIOBACKTEST", "fPFOLIOBACKTEST-class", "show,fPFOLIOBACKTEST-method" ] }, { "page": "a-class-fPFOLIOCON", "title": "Portfolio Constraints Handling", "topics": [ "class-fPFOLIOCON", "fPFOLIOCON", "fPFOLIOCON-class", "show,fPFOLIOCON-method" ] }, { "page": "a-class-fPFOLIODATA", "title": "Portfolio Data Handling", "topics": [ "class-fPFOLIODATA", "fPFOLIODATA", "fPFOLIODATA-class", "portfolioData", "show,fPFOLIODATA-method" ] }, { "page": "a-class-fPFOLIOSPEC", "title": "Specification of Portfolios", "topics": [ "class-fPFOLIOSPEC", "fPFOLIOSPEC", "fPFOLIOSPEC-class", "show,fPFOLIOSPEC-method" ] }, { "page": "a-class-fPFOLIOVAL", "title": "Values of Portfolio Frontiers", "topics": [ "class-fPFOLIOVAL", "fPFOLIOVAL", "fPFOLIOVAL-class", "show,fPFOLIOVAL-method" ] }, { "page": "a-class-fPORTFOLIO", "title": "Portfolio Class", "topics": [ "class-fPORTFOLIO", "fPORTFOLIO", "fPORTFOLIO-class", "plot.fPORTFOLIO", "summary.fPORTFOLIO" ] }, { "page": "frontier-Plot", "title": "Efficient Frontier Plot", "topics": [ "cmlLines", "cmlPoints", "equalWeightsPoints", "frontierPlot", "minvariancePoints", "monteCarloPoints", "sharpeRatioLines", "singleAssetPoints", "tailoredFrontierPlot", "tangencyLines", "tangencyPoints", "twoAssetsLines" ] }, { "page": "frontier-PlotControl", "title": "Frontier Plot Control List", "topics": [ "frontierPlotControl" ] }, { "page": "frontier-Points", "title": "Get Frontier Points", "topics": [ "frontierPoints" ] }, { "page": "mathprog-LP", "title": "Mathematical Linear Programming", "topics": [ "amplLP", "amplLPControl", "glpkLP", "glpkLPControl", "neosLP", "neosLPControl", "ramplLP", "rglpkLP", "rneosLP", "rsolveLP", "rsymphonyLP", "symphonyLP", "symphonyLPControl" ] }, { "page": "mathprog-NLP", "title": "Mathematical Non-Linear Programming", "topics": [ "amplNLP", "amplNLPControl", "nlminb2NLP", "nlminb2NLPControl", "ramplNLP", "rnlminb2", "rnlminb2NLP", "rsolnpNLP", "solnpNLP", "solnpNLPControl" ] }, { "page": "mathprog-QP", "title": "Mathematical Linear Programming", "topics": [ "amplQP", "amplQPControl", "ipopQP", "ipopQPControl", "kestrelQP", "kestrelQPControl", "neosQP", "neosQPControl", "quadprogQP", "quadprogQPControl", "ramplQP", "ripopQP", "rkestrelQP", "rneosQP", "rquadprog", "rquadprogQP", "rsolveQP" ] }, { "page": "methods-plot", "title": "plot-methods", "topics": [ ".fportfolio.plot.1", ".fportfolio.plot.2", ".fportfolio.plot.3", ".fportfolio.plot.4", ".fportfolio.plot.5", ".fportfolio.plot.6", ".fportfolio.plot.7", ".fportfolio.plot.8", "plot-methods" ] }, { "page": "methods-show", "title": "Portfolio Print Methods", "topics": [ "show,fPORTFOLIO-method", "show-methods" ] }, { "page": "methods-summary", "title": "summary-methods", "topics": [ "summary-methods" ] }, { "page": "monitor-stability", "title": "Monitoring Stability", "topics": [ "addRainbow", "bcpAnalytics", "drawdownsAnalytics", "garchAnalytics", "parAnalytics", "pcoutAnalytics", "riskmetricsAnalytics", "stabilityAnalytics", "turnsAnalytics", "waveletSpectrum" ] }, { "page": "nlminb2", "title": "Constrained nonlinear minimization", "topics": [ "nlminb2" ] }, { "page": "nlminb2Control", "title": "Control variables for Rnlminb2", "topics": [ "nlminb2Control" ] }, { "page": "portfolio-Constraints", "title": "Portfolio Constraints", "topics": [ "eqsumWConstraints", "listFConstraints", "maxBConstraints", "maxBuyinConstraints", "maxCardConstraints", "maxFConstraints", "maxsumWConstraints", "maxWConstraints", "minBConstraints", "minBuyinConstraints", "minCardConstraints", "minFConstraints", "minsumWConstraints", "minWConstraints", "nCardConstraints", "portfolioConstraints" ] }, { "page": "portfolio-covEstimator", "title": "Covariance Estimators", "topics": [ "covEstimator", "covMcdEstimator", "covOGKEstimator", "kendallEstimator", "lpmEstimator", "mcdEstimator", "mveEstimator", "nnveEstimator", "shrinkEstimator", "slpmEstimator", "spearmanEstimator" ] }, { "page": "portfolio-Data", "title": "portfolioData2", "topics": [ "portfolioData2" ] }, { "page": "portfolio-efficientPfolio", "title": "Efficient Portfolios", "topics": [ "efficientPortfolio", "maxratioPortfolio", "maxreturnPortfolio", "minriskPortfolio", "minvariancePortfolio", "tangencyPortfolio" ] }, { "page": "portfolio-feasiblePfolio", "title": "Feasible Portfolios", "topics": [ "feasiblePortfolio" ] }, { "page": "portfolio-getData", "title": "Portfolio Data Extractor Functions", "topics": [ "getCov.fPFOLIODATA", "getData.fPFOLIODATA", "getEstimator.fPFOLIODATA", "getMean.fPFOLIODATA", "getMu.fPFOLIODATA", "getNAssets.fPFOLIODATA", "getSeries.fPFOLIODATA", "getSigma.fPFOLIODATA", "getStatistics.fPFOLIODATA", "getTailRisk.fPFOLIODATA", "getUnits.fPFOLIODATA" ] }, { "page": "portfolio-getDefault", "title": "Extractor Functions", "topics": [ "getAlpha", "getConstraints", "getControl", "getCov", "getCovRiskBudgets", "getData", "getDefault", "getEstimator", "getMean", "getModel", "getMu", "getNAssets", "getNFrontierPoints", "getObjective", "getOptim", "getOptimize", "getOptions", "getParams", "getPortfolio", "getRiskFreeRate", "getSeries", "getSigma", "getSolver", "getSpec", "getStatistics", "getStatus", "getTailRisk", "getTailRiskBudgets", "getTargetReturn", "getTargetRisk", "getTrace", "getType", "getUnits", "getWeights" ] }, { "page": "portfolio-getPortfolio", "title": "Portfolio Class Extractors", "topics": [ "getA.fPORTFOLIO", "getAlpha.fPORTFOLIO", "getConstraints.fPORTFOLIO", "getConstraintsTypes", "getControl.fPORTFOLIO", "getCov.fPORTFOLIO", "getCovRiskBudgets.fPORTFOLIO", "getData.fPORTFOLIO", "getEstimator.fPORTFOLIO", "getMean.fPORTFOLIO", "getModel.fPORTFOLIO", "getMu.fPORTFOLIO", "getNAssets.fPORTFOLIO", "getNFrontierPoints.fPORTFOLIO", "getObjective.fPORTFOLIO", "getOptim.fPORTFOLIO", "getOptimize.fPORTFOLIO", "getOptions.fPORTFOLIO", "getParams.fPORTFOLIO", "getPortfolio.fPORTFOLIO", "getRiskFreeRate.fPORTFOLIO", "getSeries.fPORTFOLIO", "getSigma.fPORTFOLIO", "getSolver.fPORTFOLIO", "getSpec.fPORTFOLIO", "getStatistics.fPORTFOLIO", "getStatus.fPORTFOLIO", "getTailRisk.fPORTFOLIO", "getTailRiskBudgets.fPORTFOLIO", "getTargetReturn.fPORTFOLIO", "getTargetRisk.fPORTFOLIO", "getTrace.fPORTFOLIO", "getType.fPORTFOLIO", "getUnits.fPORTFOLIO", "getWeights.fPORTFOLIO" ] }, { "page": "portfolio-getSpec", "title": "Portfolio Specification Extractor Functions", "topics": [ "getA", "getA.fPFOLIOSPEC", "getAlpha.fPFOLIOSPEC", "getControl.fPFOLIOSPEC", "getEstimator.fPFOLIOSPEC", "getMessages", "getMessages.fPFOLIOSPEC", "getModel.fPFOLIOSPEC", "getNFrontierPoints.fPFOLIOSPEC", "getObjective.fPFOLIOSPEC", "getOptim.fPFOLIOSPEC", "getOptimize.fPFOLIOSPEC", "getOptions.fPFOLIOSPEC", "getParams.fPFOLIOSPEC", "getPortfolio.fPFOLIOSPEC", "getRiskFreeRate.fPFOLIOSPEC", "getSolver.fPFOLIOSPEC", "getStatus.fPFOLIOSPEC", "getTailRisk.fPFOLIOSPEC", "getTargetReturn.fPFOLIOSPEC", "getTargetRisk.fPFOLIOSPEC", "getTrace.fPFOLIOSPEC", "getType.fPFOLIOSPEC", "getWeights.fPFOLIOSPEC" ] }, { "page": "portfolio-getVal", "title": "PortfolioVal Extractor Functions", "topics": [ "getAlpha.fPFOLIOVAL", "getCovRiskBudgets.fPFOLIOVAL", "getNFrontierPoints.fPFOLIOVAL", "getPortfolio.fPFOLIOVAL", "getRiskFreeRate.fPFOLIOVAL", "getStatus.fPFOLIOVAL", "getTargetReturn.fPFOLIOVAL", "getTargetRisk.fPFOLIOVAL", "getWeights.fPFOLIOVAL" ] }, { "page": "portfolio-pfolioRisk", "title": "portfolioRisk", "topics": [ "covRisk", "cvarRisk", "pfolioRisk", "varRisk" ] }, { "page": "portfolio-Frontier", "title": "Efficient Portfolio Frontier", "topics": [ "portfolioFrontier" ] }, { "page": "portfolio-portfolioSpec", "title": "Specification of Portfolios", "topics": [ "portfolioSpec" ] }, { "page": "portfolio-riskPfolio", "title": "Risk and Related Measures for Portfolios", "topics": [ "lambdaCVaR", "pfolioCVaR", "pfolioCVaRoptim", "pfolioCVaRplus", "pfolioHist", "pfolioMaxLoss", "pfolioReturn", "pfolioSigma", "pfolioTargetReturn", "pfolioTargetRisk", "pfolioVaR", "riskPfolio" ] }, { "page": "portfolio-Rolling", "title": "Rolling Portfolio", "topics": [ "portfolioRolling", "rollingCmlPortfolio", "rollingMinvariancePortfolio", "rollingPortfolio", "rollingPortfolioFrontier", "rollingTangencyPortfolio", "rollingWindows" ] }, { "page": "portfolio-setSpec", "title": "Settings for Specifications of Portfolios", "topics": [ "setAlpha<-", "setEstimator<-", "setNFrontierPoints<-", "setObjective<-", "setOptimize<-", "setParams<-", "setRiskFreeRate<-", "setSolver<-", "setSpec", "setStatus<-", "setTailRisk<-", "setTargetReturn<-", "setTargetRisk<-", "setTrace<-", "setType<-", "setWeights<-" ] }, { "page": "risk-budgeting", "title": "Risk Budgeting", "topics": [ "budgetsModifiedES", "budgetsModifiedVAR", "budgetsNormalES", "budgetsNormalVAR", "budgetsSampleCOV", "modifiedVaR", "normalVaR", "sampleCOV", "sampleVaR" ] }, { "page": "risk-surfaceRisk", "title": "Surface Risk Analytics", "topics": [ "feasibleGrid", "markowitzHull" ] }, { "page": "risk-ternaryMap", "title": "Creates and Plots a Ternary Map", "topics": [ "maxddMap", "riskMap", "ternaryCoord", "ternaryFrontier", "ternaryMap", "ternaryPoints", "ternaryWeights" ] }, { "page": "solve-environment", "title": "Nonlinear Objective Presettings", "topics": [ "Data", "portfolioObjective", "portfolioReturn", "portfolioRisk" ] }, { "page": "solver-ampl", "title": "AMPL Interface", "topics": [ "amplDataAdd", "amplDataAddMatrix", "amplDataAddValue", "amplDataAddVector", "amplDataOpen", "amplDataSemicolon", "amplDataShow", "amplModelAdd", "amplModelOpen", "amplModelShow", "amplOutShow", "amplRunAdd", "amplRunOpen", "amplRunShow" ] }, { "page": "solver-rfamily", "title": "LP, QP, and NLP Programming Solvers", "topics": [ "solveRampl.CVAR", "solveRampl.MV", "solveRglpk.CVAR", "solveRglpk.MAD", "solveRipop", "solveRquadprog", "solveRquadprog.CLA", "solveRshortExact", "solveRsocp", "solveRsolnp" ] }, { "page": "utils-methods", "title": "Print Method for Solvers", "topics": [ "print.solver" ] }, { "page": "weights-linePlots", "title": "Portfolio Weights Line Plots", "topics": [ "covRiskBudgetsLinePlot", "weightedReturnsLinePlot", "weightsLinePlot" ] }, { "page": "weights-piePlots", "title": "Portfolio Pie Plots", "topics": [ "covRiskBudgetsPie", "tailRiskBudgetsPie", "weightedReturnsPie", "weightsPie" ] }, { "page": "weights-Slider", "title": "Portfolio Weights Slider", "topics": [ "weightsSlider" ] }, { "page": "weights-barPlots", "title": "Portfolio Weights Bar Plots", "topics": [ "covRiskBudgetsPlot", "riskBudgetsPlot", "tailRiskBudgetsPlot", "weightedReturnsPlot", "weightsPlot" ] } ], "_rundeps": [ "bitops", "boot", "cli", "codetools", "cpp11", "cubature", "DEoptimR", "digest", "ecodist", "energy", "fAssets", "fBasics", "fCopulae", "fMultivar", "future", "future.apply", "globals", "glue", "gsl", "gss", "igraph", "kernlab", "lattice", "lifecycle", "listenv", "magrittr", "MASS", "Matrix", "MatrixModels", "mnormt", "mvnormtest", "mvtnorm", "numDeriv", "parallelly", "pkgconfig", "quadprog", "quantreg", "Rcpp", "RcppArmadillo", "RCurl", "Rglpk", "rlang", "rneos", "robustbase", "Rsolnp", "slam", "sn", "SparseM", "spatial", "stabledist", "survival", "timeDate", "timeSeries", "truncnorm", "vctrs", "XML" ], "_score": 6.4094280883555275, "_indexed": true, "_nocasepkg": "fportfolio", "_universes": [ "r-forge", "theussl" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "4023.84.9000", "date": "2026-05-23T05:43:34.000Z", "distro": "noble", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "170412dcb7cfaaa2b6f924e1f4dd0f7163275083992528af6a4240c176066c90", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.6.0", "os": "linux", "version": "4023.84.9000", "date": "2026-05-23T05:43:26.000Z", "distro": "noble", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "f00f022dc8cf467223adec48547ed28b15c6ec69e4055aed05a8f870c3ddb35f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.5.3", "os": "mac", "version": "4023.84.9000", "date": "2026-05-23T05:42:47.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "2d25e86b80da3c151e67f2e169fa51cfea0615214110333fcfb20401db34bce2", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.6.0", "os": "mac", "version": "4023.84.9000", "date": "2026-05-23T05:42:42.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "96378af4720182d346f41c05dd0df9a45291ff12b4ddf67682d0edc1c27fb6ea", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.6.0", "os": "wasm", "version": "4023.84.9000", "date": "2026-05-23T05:43:48.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "bb10186b2b81a50aa19bfedb17aa7f725d922c7357d141058a4854df988d4c4f", "status": "success", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.7.0", "os": "win", "version": "4023.84.9000", "date": "2026-05-23T05:42:53.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "bbc08618254f9a630b54cc69783dd3215dd569e916faaa40275140116c37ab26", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.5.3", "os": "win", "version": "4023.84.9000", "date": "2026-05-23T05:42:16.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "80682d7890ad27b6eeb224dcbf8311529df98b15a71560da2299232eac6dcb9a", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" }, { "r": "4.6.0", "os": "win", "version": "4023.84.9000", "date": "2026-05-23T05:42:42.000Z", "commit": "d8bc4aeb583742e52170b581b908108e0282bf7b", "fileid": "90f3bc751fbf0d11a3a1a1f5f1e95bebd631ea80aec61d9f2da7b22e06fba154", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/r-forge/actions/runs/26324775308" } ] }