Package: PortfolioOptim 1.1.1

Andrzej Palczewski

PortfolioOptim: Small/Large Sample Portfolio Optimization

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.

Authors:Andrzej Palczewski [aut, cre], Aleksandra Dabrowska [ctb]

PortfolioOptim_1.1.1.tar.gz
PortfolioOptim_1.1.1.tar.gz(r-4.5-noble)PortfolioOptim_1.1.1.tar.gz(r-4.4-noble)
PortfolioOptim_1.1.1.tgz(r-4.4-emscripten)PortfolioOptim_1.1.1.tgz(r-4.3-emscripten)
PortfolioOptim.pdf |PortfolioOptim.html✨
PortfolioOptim/json (API)

# Install 'PortfolioOptim' in R:
install.packages('PortfolioOptim', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 214 downloads 2 exports 1 dependencies

Last updated 6 years agofrom:cea7d0899e. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 29 2025
R-4.5-linuxOKMar 29 2025
R-4.4-linuxOKMar 29 2025

Exports:BDportfolio_optimPortfolioOptimProjection

Dependencies:Rsymphony

Citation

To cite package ‘PortfolioOptim’ in publications use:

Palczewski A (2019). PortfolioOptim: Small/Large Sample Portfolio Optimization. R package version 1.1.1, https://CRAN.R-project.org/package=PortfolioOptim.

Corresponding BibTeX entry: 

  @Manual{,
    title = {PortfolioOptim: Small/Large Sample Portfolio
      Optimization},
    author = {Andrzej Palczewski},
    year = {2019},
    note = {R package version 1.1.1},
    url = {https://CRAN.R-project.org/package=PortfolioOptim},
  }