Rmetrics - Portfolio Selection and Optimization


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Documentation for package ‘fPortfolio’ version 280.74

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A B C D E F G J K L M N P R S T V W

-- A --

altInvest fPortfolio Data Sets
annualInvest fPortfolio Data Sets
assetsCorr fPortfolio Data Sets

-- B --

berndtInvest fPortfolio Data Sets

-- C --

class-fPFOLIOCON Portfolio Constraints Handling
class-fPFOLIODATA Portfolio Data Handling
class-fPFOLIOSPEC Specification of Portfolios
class-fPORTFOLIO Portfolio Class
cmlLines Efficient Frontier Plot
cmlPoints Efficient Frontier Plot
covEstimator Covariance Estimators
covMcdEstimator Covariance Estimators
covOGKEstimator Covariance Estimators
covRisk portfolioRisk
covRiskBudgetsLinePlot Portfolio Weights Line Plots
covRiskBudgetsPie Portfolio Pie Plots
covRiskBudgetsPlot Portfolio Weights Pie Plots
cvarRisk portfolioRisk

-- D --

dataSets fPortfolio Data Sets

-- E --

efficientPortfolio Efficient Portfolios
eqsumWConstraints Portfolio Constraints
equalWeightsPoints Efficient Frontier Plot
equityFunds fPortfolio Data Sets

-- F --

feasiblePortfolio Portfolio Class
fPFOLIOCON Portfolio Constraints Handling
fPFOLIOCON-class Portfolio Constraints Handling
fPFOLIODATA Portfolio Data Handling
fPFOLIODATA-class Portfolio Data Handling
fPFOLIOSPEC Specification of Portfolios
fPFOLIOSPEC-class Specification of Portfolios
fPORTFOLIO Portfolio Class
fPortfolio Portfolio Modelling, Optimization and Backtesting
fPORTFOLIO-class Portfolio Class
frontierPlot Efficient Frontier Plot
frontierPlotControl Frontier Plot Control List
frontierPoints Get Frontier Points

-- G --

getAlpha Extractors
getAlpha.fPFOLIOSPEC Portfolio Specification Extractors
getAlpha.fPORTFOLIO Portfolio Class Extractors
getConstraints Extractors
getConstraints.fPORTFOLIO Portfolio Class Extractors
getConstraintsTypes Portfolio Class Extractors
getCov Extractors
getCov.fPFOLIODATA Portfolio Data Extractors
getCov.fPORTFOLIO Portfolio Class Extractors
getCovRiskBudgets Extractors
getCovRiskBudgets.fPORTFOLIO Portfolio Class Extractors
getData Extractors
getData.fPFOLIODATA Portfolio Data Extractors
getData.fPORTFOLIO Portfolio Class Extractors
getDefault Extractors
getEstimator Extractors
getEstimator.fPFOLIODATA Portfolio Data Extractors
getEstimator.fPFOLIOSPEC Portfolio Specification Extractors
getEstimator.fPORTFOLIO Portfolio Class Extractors
getMean Extractors
getMean.fPFOLIODATA Portfolio Data Extractors
getMean.fPORTFOLIO Portfolio Class Extractors
getModel.fPFOLIOSPEC Portfolio Specification Extractors
getModel.fPORTFOLIO Portfolio Class Extractors
getMu Extractors
getMu.fPFOLIODATA Portfolio Data Extractors
getMu.fPORTFOLIO Portfolio Class Extractors
getNames Extractors
getNames.fPFOLIODATA Portfolio Data Extractors
getNames.fPORTFOLIO Portfolio Class Extractors
getNAssets Extractors
getNAssets.fPFOLIODATA Portfolio Data Extractors
getNAssets.fPORTFOLIO Portfolio Class Extractors
getNFrontierPoints Extractors
getNFrontierPoints.fPFOLIOSPEC Portfolio Specification Extractors
getNFrontierPoints.fPORTFOLIO Portfolio Class Extractors
getObjective Extractors
getObjective.fPFOLIOSPEC Portfolio Specification Extractors
getOptim Extractors
getOptim.fPFOLIOSPEC Portfolio Specification Extractors
getOptim.fPORTFOLIO Portfolio Class Extractors
getOptimize Extractors
getOptimize.fPFOLIOSPEC Portfolio Specification Extractors
getOptimize.fPORTFOLIO Portfolio Class Extractors
getParams Extractors
getParams.fPFOLIOSPEC Portfolio Specification Extractors
getParams.fPORTFOLIO Portfolio Class Extractors
getPortfolio Extractors
getPortfolio.fPFOLIOSPEC Portfolio Specification Extractors
getPortfolio.fPORTFOLIO Portfolio Class Extractors
getRiskFreeRate Extractors
getRiskFreeRate.fPFOLIOSPEC Portfolio Specification Extractors
getRiskFreeRate.fPORTFOLIO Portfolio Class Extractors
getSeries Extractors
getSeries.fPFOLIODATA Portfolio Data Extractors
getSeries.fPORTFOLIO Portfolio Class Extractors
getSigma Extractors
getSigma.fPFOLIODATA Portfolio Data Extractors
getSigma.fPORTFOLIO Portfolio Class Extractors
getSolver Extractors
getSolver.fPFOLIOSPEC Portfolio Specification Extractors
getSolver.fPORTFOLIO Portfolio Class Extractors
getSpec Extractors
getSpec.fPORTFOLIO Portfolio Class Extractors
getStatistics Extractors
getStatistics.fPFOLIODATA Portfolio Data Extractors
getStatistics.fPORTFOLIO Portfolio Class Extractors
getStatus Extractors
getStatus.fPFOLIOSPEC Portfolio Specification Extractors
getStatus.fPORTFOLIO Portfolio Class Extractors
getTailRisk Extractors
getTailRisk.fPFOLIODATA Portfolio Data Extractors
getTailRisk.fPFOLIOSPEC Portfolio Specification Extractors
getTailRisk.fPORTFOLIO Portfolio Class Extractors
getTailRiskBudgets Extractors
getTailRiskBudgets.fPORTFOLIO Portfolio Class Extractors
getTargetReturn Extractors
getTargetReturn.fPFOLIOSPEC Portfolio Specification Extractors
getTargetReturn.fPORTFOLIO Portfolio Class Extractors
getTargetRisk Extractors
getTargetRisk.fPFOLIOSPEC Portfolio Specification Extractors
getTargetRisk.fPORTFOLIO Portfolio Class Extractors
getTrace Extractors
getTrace.fPFOLIOSPEC Portfolio Specification Extractors
getTrace.fPORTFOLIO Portfolio Class Extractors
getType Extractors
getType.fPFOLIOSPEC Portfolio Specification Extractors
getType.fPORTFOLIO Portfolio Class Extractors
getWeights Extractors
getWeights.fPFOLIOSPEC Portfolio Specification Extractors
getWeights.fPORTFOLIO Portfolio Class Extractors

-- J --

jobstCov fPortfolio Data Sets

-- K --

kendallEstimator Covariance Estimators

-- L --

largecap.ts fPortfolio Data Sets
listFConstraints Portfolio Constraints
lpmEstimator Covariance Estimators
LPP2005REC fPortfolio Data Sets

-- M --

maxBConstraints Portfolio Constraints
maxFConstraints Portfolio Constraints
maxratioPortfolio Efficient Portfolios
maxreturnPortfolio Efficient Portfolios
maxsumWConstraints Portfolio Constraints
maxWConstraints Portfolio Constraints
mcdEstimator Covariance Estimators
microcap.ts fPortfolio Data Sets
midcap.ts fPortfolio Data Sets
midcapD.ts fPortfolio Data Sets
minBConstraints Portfolio Constraints
minFConstraints Portfolio Constraints
minriskPortfolio Efficient Portfolios
minsumWConstraints Portfolio Constraints
minvariancePoints Efficient Frontier Plot
minvariancePortfolio Efficient Portfolios
minWConstraints Portfolio Constraints
monteCarloPoints Efficient Frontier Plot
mveEstimator Covariance Estimators

-- N --

nnveEstimator Covariance Estimators

-- P --

plot-methods plot-methods
plot.fPORTFOLIO Portfolio Class
portfolioConstraints Portfolio Constraints
portfolioData Portfolio Data Handling
portfolioData2 portfolioData2
portfolioFrontier Efficient Portfolio Frontier
portfolioRisk portfolioRisk
portfolioRolling Rolling Portfolio
portfolioSpec Specification of Portfolios

-- R --

returns.three.ts fPortfolio Data Sets
rollingCmlPortfolio Rolling Portfolio
rollingMinvariancePortfolio Rolling Portfolio
rollingPortfolio Rolling Portfolio
rollingPortfolioFrontier Rolling Portfolio
rollingTangencyPortfolio Rolling Portfolio
rollingWindows Rolling Portfolio

-- S --

setSpec Specification of Portfolios
sharpeRatioLines Efficient Frontier Plot
show,fPFOLIOCON-method Portfolio Constraints Handling
show,fPFOLIODATA-method Portfolio Data Handling
show,fPFOLIOSPEC-method Specification of Portfolios
show,fPORTFOLIO-method Portfolio Print Methods
show-methods Portfolio Print Methods
shrinkEstimator Covariance Estimators
singleAssetPoints Efficient Frontier Plot
smallcap.ts fPortfolio Data Sets
solveRglpk Linear Programming Solver
solveRquadprog Quadratic Programming Solver
solveRshortExact Exat unlimit Short Selling Solver
spearmanEstimator Covariance Estimators
summary-methods summary-methods
summary.fPORTFOLIO Portfolio Class
SWXLP fPortfolio Data Sets

-- T --

tailRiskBudgetsPie Portfolio Pie Plots
tailRiskBudgetsPlot Portfolio Weights Pie Plots
tangencyLines Efficient Frontier Plot
tangencyPoints Efficient Frontier Plot
tangencyPortfolio Efficient Portfolios
twoAssetsLines Efficient Frontier Plot

-- V --

vanIndices fPortfolio Data Sets
varRisk portfolioRisk

-- W --

weightedReturnsLinePlot Portfolio Weights Line Plots
weightedReturnsPie Portfolio Pie Plots
weightedReturnsPlot Portfolio Weights Pie Plots
weightsLinePlot Portfolio Weights Line Plots
weightsPie Portfolio Pie Plots
weightsPlot Portfolio Weights Pie Plots
weightsSlider Portfolio Weights Slider