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:
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 years agofrom:cea7d0899e. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 31 2024 |
| R-4.5-linux | OK | Aug 31 2024 |
Exports:BDportfolio_optimPortfolioOptimProjection
Dependencies:Rsymphony
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Portfolio Optimization by Benders decomposition | BDportfolio_optim |
| Portfolio optimization which finds an optimal portfolio with the smallest distance to a benchmark. | PortfolioOptimProjection |