Package: parma 1.7

Alexios Galanos

parma: Portfolio Allocation and Risk Management Applications

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Authors:Alexios Galanos [aut, cre], Bernhard Pfaff [ctb], Miguel Sousa Lobo [ctb], Lieven Vandenberghe [ctb], Stephen Boyd [ctb], Herve Lebret [ctb]

parma_1.7.tar.gz
parma_1.7.tar.gz(r-4.7-arm64)parma_1.7.tar.gz(r-4.7-x86_64)parma_1.7.tar.gz(r-4.6-arm64)parma_1.7.tar.gz(r-4.6-x86_64)
manual.pdf |manual.html✨
card.svg |card.png
parma/json (API)

# Install 'parma' in R:
install.packages('parma', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/alexiosg/parma/issues

Uses libs:
  • openblas– Optimized BLAS
Datasets:
  • etfdata - 15 Exchange Traded Funds

On CRAN:

Conda:

openblas

2.18 score 1 stars 15 scripts 304 downloads 32 exports 6 dependencies

Last updated from:6255a5619d. Checks:5 OK, 1 FAIL. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK128
linux-devel-x86_64OK132
source / vignettesOK173
linux-release-arm64OK132
linux-release-x86_64OK151
wasm-releaseFAIL112

Exports:checkarbitragecmaescmaes.controlineqfun.bsturnover.minineqfun.bsturnover.optineqfun.turnover.minineqfun.turnover.optineqfun.variance.minineqfun.variance.optineqjac.bsturnover.minineqjac.bsturnover.optineqjac.turnover.minineqjac.turnover.optineqjac.variance.minineqjac.variance.optparmafrontierparmagetparmarewardparmariskparmaset<-parmasolveparmaspecparmastatusparmautilityriskfunshowSocpSocpControlSocpPhase1SocpPhase2tictocweights

Dependencies:corpcornloptrquadprogRglpkslamtruncnorm

Portfolio Optimization in parma

Rendered fromPortfolio_Optimization_in_parma.pdf.asisusingR.rsp::asison May 27 2026.

Last update: 2022-06-13
Started: 2022-06-13

Readme and manuals

Help Manual

Help pageTopics
The parma packageparma-package parma
The Covariance Matrix Adaptation Evolution Strategy (cmaes) Solvercmaes cmaes.control
NLP custom constraint functionsineqfun.bsturnover.min ineqfun.bsturnover.opt ineqfun.turnover.min ineqfun.turnover.opt ineqfun.variance.min ineqfun.variance.opt ineqjac.bsturnover.min ineqjac.bsturnover.opt ineqjac.turnover.min ineqjac.turnover.opt ineqjac.variance.min ineqjac.variance.opt
15 Exchange Traded Funds (ETFs)etfdata
Efficient Frontier Generatorparmafrontier parmafrontier,ANY-method parmafrontier,parmaSpec-method parmafrontier-methods
Class '"parmaPort"'checkarbitrage checkarbitrage,ANY-method checkarbitrage,parmaPort-method parmaPort-class parmareward parmareward,ANY-method parmareward,parmaPort-method parmarisk parmarisk,ANY-method parmarisk,parmaPort-method parmastatus parmastatus,ANY-method parmastatus,parmaPort-method show,parmaPort-method tictoc tictoc,ANY-method tictoc,parmaPort-method weights,parmaPort-method
Portfolio Allocation Model Solverparmasolve parmasolve,ANY-method parmasolve,parmaSpec-method parmasolve-methods
Class '"parmaSpec"'parmaget parmaget,ANY-method parmaget,parmaSpec-method parmaset<- parmaset<-,ANY,ANY-method parmaset<-,parmaSpec,vector-method parmaSpec-class show,parmaSpec-method
Portfolio Allocation Model Specificationparmaspec parmaspec,ANY-method parmaspec-methods
Utility Based Optimizationparmautility parmautility,ANY-method parmautility-methods
Portfolio Risk Measuresriskfun
Second-order Cone ProgrammingSocp
Control Variables for SocpSocpControl
SOCP: Initialising objective variable x in primal formSocpPhase1
SOCP: Initialising objective variable z in dual formSocpPhase2