Package: fPortfolio 4023.84.9000
fPortfolio: Rmetrics - Portfolio Selection and Optimization
A collection of functions to optimize portfolios and to analyze them from different points of view.
Authors:
fPortfolio_4023.84.9000.tar.gz
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fPortfolio.pdf |fPortfolio.html✨
fPortfolio/json (API)
# Install 'fPortfolio' in R: |
install.packages('fPortfolio', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://r-forge.r-project.org/projects/rmetrics
- ECON85 - Assets Data Sets
- ECON85LONG - Assets Data Sets
- GCCINDEX - Assets Data Sets
- GCCINDEX.RET - Assets Data Sets
- LPP2005 - Assets Data Sets
- LPP2005.RET - Assets Data Sets
- SMALLCAP - Assets Data Sets
- SMALLCAP.RET - Assets Data Sets
- SPISECTOR - Assets Data Sets
- SPISECTOR.RET - Assets Data Sets
- SWX - Assets Data Sets
- SWX.RET - Assets Data Sets
Last updated 4 days agofrom:28a8bc75d8. Checks:OK: 1 NOTE: 6. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Sep 04 2024 |
R-4.5-win | NOTE | Sep 04 2024 |
R-4.5-linux | NOTE | Sep 04 2024 |
R-4.4-win | NOTE | Sep 04 2024 |
R-4.4-mac | NOTE | Sep 04 2024 |
R-4.3-win | NOTE | Sep 04 2024 |
R-4.3-mac | NOTE | Sep 04 2024 |
Exports:.fportfolio.plot.1.fportfolio.plot.2.fportfolio.plot.3.fportfolio.plot.4.fportfolio.plot.5.fportfolio.plot.6.fportfolio.plot.7.fportfolio.plot.8addRainbowamplDataAddamplDataAddMatrixamplDataAddValueamplDataAddVectoramplDataOpenamplDataSemicolonamplDataShowamplLPamplLPControlamplModelAddamplModelOpenamplModelShowamplNLPamplNLPControlamplOutShowamplQPamplQPControlamplRunAddamplRunOpenamplRunShowbacktestAssetsPlotbacktestDrawdownPlotbacktestPlotbacktestPortfolioPlotbacktestRebalancePlotbacktestReportPlotbacktestStatsbacktestWeightsPlotbcpAnalyticsbudgetsModifiedESbudgetsModifiedVARbudgetsNormalESbudgetsNormalVARbudgetsSampleCOVcmlLinescmlPointscovEstimatorcovMcdEstimatorcovOGKEstimatorcovRiskcovRiskBudgetsLinePlotcovRiskBudgetsPiecovRiskBudgetsPlotcvarRiskDatadrawdownsAnalyticsefficientPortfolioemaSmoothereqsumWConstraintsequalWeightsPointsequidistWindowsfeasibleGridfeasiblePortfoliofrontierPlotfrontierPlotControlfrontierPointsgarchAnalyticsgetAgetA.fPFOLIOSPECgetA.fPORTFOLIOgetAlphagetAlpha.fPFOLIOSPECgetAlpha.fPFOLIOVALgetAlpha.fPORTFOLIOgetConstraintsgetConstraints.fPORTFOLIOgetConstraintsTypesgetControlgetControl.fPFOLIOSPECgetControl.fPORTFOLIOgetCovgetCov.fPFOLIODATAgetCov.fPORTFOLIOgetCovRiskBudgetsgetCovRiskBudgets.fPFOLIOVALgetCovRiskBudgets.fPORTFOLIOgetDatagetData.fPFOLIODATAgetData.fPORTFOLIOgetEstimatorgetEstimator.fPFOLIODATAgetEstimator.fPFOLIOSPECgetEstimator.fPORTFOLIOgetMeangetMean.fPFOLIODATAgetMean.fPORTFOLIOgetMessagesgetMessages.fPFOLIOBACKTESTgetMessages.fPFOLIOSPECgetModel.fPFOLIOSPECgetModel.fPORTFOLIOgetMugetMu.fPFOLIODATAgetMu.fPORTFOLIOgetNAssetsgetNAssets.fPFOLIODATAgetNAssets.fPORTFOLIOgetNFrontierPointsgetNFrontierPoints.fPFOLIOSPECgetNFrontierPoints.fPFOLIOVALgetNFrontierPoints.fPORTFOLIOgetObjectivegetObjective.fPFOLIOSPECgetObjective.fPORTFOLIOgetOptimgetOptim.fPFOLIOSPECgetOptim.fPORTFOLIOgetOptimizegetOptimize.fPFOLIOSPECgetOptimize.fPORTFOLIOgetOptionsgetOptions.fPFOLIOSPECgetOptions.fPORTFOLIOgetParamsgetParams.fPFOLIOSPECgetParams.fPORTFOLIOgetPortfoliogetPortfolio.fPFOLIOSPECgetPortfolio.fPFOLIOVALgetPortfolio.fPORTFOLIOgetRiskFreeRategetRiskFreeRate.fPFOLIOSPECgetRiskFreeRate.fPFOLIOVALgetRiskFreeRate.fPORTFOLIOgetSeriesgetSeries.fPFOLIODATAgetSeries.fPORTFOLIOgetSigmagetSigma.fPFOLIODATAgetSigma.fPORTFOLIOgetSmoothergetSmoother.fPFOLIOBACKTESTgetSmootherDoubleSmoothinggetSmootherDoubleSmoothing.fPFOLIOBACKTESTgetSmootherFungetSmootherFun.fPFOLIOBACKTESTgetSmootherInitialWeightsgetSmootherInitialWeights.fPFOLIOBACKTESTgetSmootherLambdagetSmootherLambda.fPFOLIOBACKTESTgetSmootherParamsgetSmootherParams.fPFOLIOBACKTESTgetSmootherSkipgetSmootherSkip.fPFOLIOBACKTESTgetSolvergetSolver.fPFOLIOSPECgetSolver.fPORTFOLIOgetSpecgetSpec.fPORTFOLIOgetStatisticsgetStatistics.fPFOLIODATAgetStatistics.fPORTFOLIOgetStatusgetStatus.fPFOLIOSPECgetStatus.fPFOLIOVALgetStatus.fPORTFOLIOgetStrategygetStrategy.fPFOLIOBACKTESTgetStrategyFungetStrategyFun.fPFOLIOBACKTESTgetStrategyParamsgetStrategyParams.fPFOLIOBACKTESTgetTailRiskgetTailRisk.fPFOLIODATAgetTailRisk.fPFOLIOSPECgetTailRisk.fPORTFOLIOgetTailRiskBudgetsgetTailRiskBudgets.fPORTFOLIOgetTargetReturngetTargetReturn.fPFOLIOSPECgetTargetReturn.fPFOLIOVALgetTargetReturn.fPORTFOLIOgetTargetRiskgetTargetRisk.fPFOLIOSPECgetTargetRisk.fPFOLIOVALgetTargetRisk.fPORTFOLIOgetTracegetTrace.fPFOLIOSPECgetTrace.fPORTFOLIOgetTypegetType.fPFOLIOSPECgetType.fPORTFOLIOgetUnits.fPFOLIODATAgetUnits.fPORTFOLIOgetWeightsgetWeights.fPFOLIOSPECgetWeights.fPFOLIOVALgetWeights.fPORTFOLIOgetWindowsgetWindows.fPFOLIOBACKTESTgetWindowsFungetWindowsFun.fPFOLIOBACKTESTgetWindowsHorizongetWindowsHorizon.fPFOLIOBACKTESTgetWindowsParamsgetWindowsParams.fPFOLIOBACKTESTglpkLPglpkLPControlipopQPipopQPControlkendallEstimatorkestrelQPkestrelQPControllambdaCVaRlistFConstraintslpmEstimatormarkowitzHullmaxBConstraintsmaxBuyinConstraintsmaxCardConstraintsmaxddMapmaxFConstraintsmaxratioPortfoliomaxreturnPortfoliomaxsumWConstraintsmaxWConstraintsmcdEstimatorminBConstraintsminBuyinConstraintsminCardConstraintsminFConstraintsminriskPortfoliominsumWConstraintsminvariancePointsminvariancePortfoliominWConstraintsmodifiedVaRmonteCarloPointsmveEstimatornCardConstraintsneosLPneosLPControlneosQPneosQPControlnetPerformancenlminb2nlminb2Controlnlminb2NLPnlminb2NLPControlnnveEstimatornormalVaRparAnalyticspcoutAnalyticspfolioCVaRpfolioCVaRoptimpfolioCVaRpluspfolioHistpfolioMaxLosspfolioReturnpfolioTargetReturnpfolioTargetRiskpfolioVaRplot.fPORTFOLIOportfolioBacktestportfolioBacktestingportfolioConstraintsportfolioDataportfolioFrontierportfolioObjectiveportfolioReturnportfolioRiskportfolioSmoothingportfolioSpecprint.solverquadprogQPquadprogQPControlramplLPramplNLPramplQPrglpkLPripopripopQPriskBudgetsPlotriskMapriskmetricsAnalyticsrkestrelQPrneosLPrneosQPrnlminb2rnlminb2NLProllingCDaRrollingCmlPortfoliorollingCVaRrollingDaRrollingMinvariancePortfoliorollingPortfolioFrontierrollingSigmarollingTangencyPortfoliorollingVaRrollingWindowsrquadprogrquadprogQPrsolnpNLPrsolveLPrsolveQPrsymphonyLPsampleCOVsampleVaRsetAlpha<-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<-sharpeRatioLinesshrinkEstimatorsingleAssetPointsslpmEstimatorsolnpNLPsolnpNLPControlsolveRampl.CVARsolveRampl.MVsolveRglpk.CVARsolveRglpk.MADsolveRipopsolveRquadprogsolveRquadprog.CLAsolveRshortExactsolveRsocpsolveRsolnpspearmanEstimatorstabilityAnalyticssummary.fPORTFOLIOsymphonyLPsymphonyLPControltailoredFrontierPlottailRiskBudgetsPietailRiskBudgetsPlottangencyLinestangencyPointstangencyPortfoliotangencyStrategyternaryCoordternaryFrontierternaryMapternaryPointsternaryWeightsturnsAnalyticstwoAssetsLinesvarRiskwaveletSpectrumweightedReturnsLinePlotweightedReturnsPieweightedReturnsPlotweightsLinePlotweightsPieweightsPlotweightsSlider
Dependencies:bitopsbootclicpp11cubatureDEoptimRecodistenergyfAssetsfBasicsfCopulaefMultivargluegslgssigraphkernlablatticelifecyclemagrittrMASSMatrixMatrixModelsmnormtmvnormtestmvtnormnumDerivpkgconfigquadprogquantregRcppRCurlRglpkrlangrneosrobustbaseRsolnpslamsnSparseMspatialstabledistsurvivaltimeDatetimeSeriestruncnormvctrsXML
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Portfolio Design, Optimization and Backtesting | fPortfolio |
Specification of backtesting portfolios | setBacktest setSmootherDoubleSmoothing<- setSmootherFun<- setSmootherInitialWeights<- setSmootherLambda<- setSmootherParams<- setSmootherSkip<- setStrategyFun<- setStrategyParams<- setWindowsFun<- setWindowsHorizon<- setWindowsParams<- |
Portfolio backtest specification extractors | 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 |
User defined functions to perform portfolio backtesting | emaSmoother equidistWindows tangencyStrategy |
Portfolio Backtest Extractors | getSmoother getSmootherDoubleSmoothing getSmootherFun getSmootherInitialWeights getSmootherLambda getSmootherParams getSmootherSkip getStrategy getStrategyFun getStrategyParams getWindows getWindowsFun getWindowsHorizon getWindowsParams |
Portfolio backtesting net performance | netPerformance |
Portfolio backtesting plots | backtestAssetsPlot backtestDrawdownPlot backtestPlot backtestPortfolioPlot backtestRebalancePlot backtestReportPlot backtestWeightsPlot |
Portfolio backtesting | portfolioBacktesting portfolioSmoothing |
Specification of portfolio backtesting | portfolioBacktest |
Rolling portfolio backtesting statistics | backtestStats rollingCDaR rollingCVaR rollingDaR rollingRiskBudgets rollingSigma rollingVaR |
Assets Data Sets | 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 |
Portfolio backtesting specifications | class-fPFOLIOBACKTEST fPFOLIOBACKTEST fPFOLIOBACKTEST-class show,fPFOLIOBACKTEST-method |
Portfolio Constraints Handling | class-fPFOLIOCON fPFOLIOCON fPFOLIOCON-class show,fPFOLIOCON-method |
Portfolio Data Handling | class-fPFOLIODATA fPFOLIODATA fPFOLIODATA-class portfolioData show,fPFOLIODATA-method |
Specification of Portfolios | class-fPFOLIOSPEC fPFOLIOSPEC fPFOLIOSPEC-class show,fPFOLIOSPEC-method |
Values of Portfolio Frontiers | class-fPFOLIOVAL fPFOLIOVAL fPFOLIOVAL-class show,fPFOLIOVAL-method |
Portfolio Class | class-fPORTFOLIO fPORTFOLIO fPORTFOLIO-class plot.fPORTFOLIO summary.fPORTFOLIO |
Efficient Frontier Plot | cmlLines cmlPoints equalWeightsPoints frontierPlot minvariancePoints monteCarloPoints sharpeRatioLines singleAssetPoints tailoredFrontierPlot tangencyLines tangencyPoints twoAssetsLines |
Frontier Plot Control List | frontierPlotControl |
Get Frontier Points | frontierPoints |
Mathematical Linear Programming | amplLP amplLPControl glpkLP glpkLPControl neosLP neosLPControl ramplLP rglpkLP rneosLP rsolveLP rsymphonyLP symphonyLP symphonyLPControl |
Mathematical Non-Linear Programming | amplNLP amplNLPControl nlminb2NLP nlminb2NLPControl ramplNLP rnlminb2 rnlminb2NLP rsolnpNLP solnpNLP solnpNLPControl |
Mathematical Linear Programming | amplQP amplQPControl ipopQP ipopQPControl kestrelQP kestrelQPControl neosQP neosQPControl quadprogQP quadprogQPControl ramplQP ripopQP rkestrelQP rneosQP rquadprog rquadprogQP rsolveQP |
plot-methods | .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 |
Portfolio Print Methods | show,fPORTFOLIO-method show-methods |
summary-methods | summary-methods |
Monitoring Stability | addRainbow bcpAnalytics drawdownsAnalytics garchAnalytics parAnalytics pcoutAnalytics riskmetricsAnalytics stabilityAnalytics turnsAnalytics waveletSpectrum |
Constrained nonlinear minimization | nlminb2 |
Control variables for Rnlminb2 | nlminb2Control |
Portfolio Constraints | eqsumWConstraints listFConstraints maxBConstraints maxBuyinConstraints maxCardConstraints maxFConstraints maxsumWConstraints maxWConstraints minBConstraints minBuyinConstraints minCardConstraints minFConstraints minsumWConstraints minWConstraints nCardConstraints portfolioConstraints |
Covariance Estimators | covEstimator covMcdEstimator covOGKEstimator kendallEstimator lpmEstimator mcdEstimator mveEstimator nnveEstimator shrinkEstimator slpmEstimator spearmanEstimator |
portfolioData2 | portfolioData2 |
Efficient Portfolios | efficientPortfolio maxratioPortfolio maxreturnPortfolio minriskPortfolio minvariancePortfolio tangencyPortfolio |
Feasible Portfolios | feasiblePortfolio |
Portfolio Data Extractor Functions | getCov.fPFOLIODATA getData.fPFOLIODATA getEstimator.fPFOLIODATA getMean.fPFOLIODATA getMu.fPFOLIODATA getNAssets.fPFOLIODATA getSeries.fPFOLIODATA getSigma.fPFOLIODATA getStatistics.fPFOLIODATA getTailRisk.fPFOLIODATA getUnits.fPFOLIODATA |
Extractor Functions | 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 |
Portfolio Class Extractors | 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 |
Portfolio Specification Extractor Functions | 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 |
PortfolioVal Extractor Functions | getAlpha.fPFOLIOVAL getCovRiskBudgets.fPFOLIOVAL getNFrontierPoints.fPFOLIOVAL getPortfolio.fPFOLIOVAL getRiskFreeRate.fPFOLIOVAL getStatus.fPFOLIOVAL getTargetReturn.fPFOLIOVAL getTargetRisk.fPFOLIOVAL getWeights.fPFOLIOVAL |
portfolioRisk | covRisk cvarRisk pfolioRisk varRisk |
Efficient Portfolio Frontier | portfolioFrontier |
Specification of Portfolios | portfolioSpec |
Risk and Related Measures for Portfolios | lambdaCVaR pfolioCVaR pfolioCVaRoptim pfolioCVaRplus pfolioHist pfolioMaxLoss pfolioReturn pfolioSigma pfolioTargetReturn pfolioTargetRisk pfolioVaR riskPfolio |
Rolling Portfolio | portfolioRolling rollingCmlPortfolio rollingMinvariancePortfolio rollingPortfolio rollingPortfolioFrontier rollingTangencyPortfolio rollingWindows |
Settings for Specifications of Portfolios | setAlpha<- setEstimator<- setNFrontierPoints<- setObjective<- setOptimize<- setParams<- setRiskFreeRate<- setSolver<- setSpec setStatus<- setTailRisk<- setTargetReturn<- setTargetRisk<- setTrace<- setType<- setWeights<- |
Risk Budgeting | budgetsModifiedES budgetsModifiedVAR budgetsNormalES budgetsNormalVAR budgetsSampleCOV modifiedVaR normalVaR sampleCOV sampleVaR |
Surface Risk Analytics | feasibleGrid markowitzHull |
Creates and Plots a Ternary Map | maxddMap riskMap ternaryCoord ternaryFrontier ternaryMap ternaryPoints ternaryWeights |
Nonlinear Objective Presettings | Data portfolioObjective portfolioReturn portfolioRisk |
AMPL Interface | amplDataAdd amplDataAddMatrix amplDataAddValue amplDataAddVector amplDataOpen amplDataSemicolon amplDataShow amplModelAdd amplModelOpen amplModelShow amplOutShow amplRunAdd amplRunOpen amplRunShow |
LP, QP, and NLP Programming Solvers | solveRampl.CVAR solveRampl.MV solveRglpk.CVAR solveRglpk.MAD solveRipop solveRquadprog solveRquadprog.CLA solveRshortExact solveRsocp solveRsolnp |
Print Method for Solvers | print.solver |
Portfolio Weights Line Plots | covRiskBudgetsLinePlot weightedReturnsLinePlot weightsLinePlot |
Portfolio Pie Plots | covRiskBudgetsPie tailRiskBudgetsPie weightedReturnsPie weightsPie |
Portfolio Weights Slider | weightsSlider |
Portfolio Weights Bar Plots | covRiskBudgetsPlot riskBudgetsPlot tailRiskBudgetsPlot weightedReturnsPlot weightsPlot |