A B C D E F G H I L M N O P Q R S T U V W
PortfolioAnalytics-package | Numeric methods for optimization of portfolios |
ac.ranking | Asset Ranking |
add.constraint | General interface for adding and/or updating optimization constraints. |
add.objective | General interface for adding optimization objectives, including risk, return, and risk budget |
add.objective_v1 | General interface for adding optimization objectives, including risk, return, and risk budget |
add.objective_v2 | General interface for adding optimization objectives, including risk, return, and risk budget |
add.sub.portfolio | Add sub-portfolio |
applyFUN | Apply a risk or return function to a set of weights |
barplotGroupWeights | barplot of group weights by group or category |
black.litterman | Black Litterman Estimates |
BlackLittermanFormula | Computes the Black-Litterman formula for the moments of the posterior normal. |
box_constraint | constructor for box_constraint. |
CCCgarch.MM | compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model |
center | Center |
centroid.buckets | Buckets Centroid |
centroid.complete.mc | Complete Cases Centroid |
centroid.sectors | Multiple Sectors Centroid |
centroid.sign | Positive and Negative View Centroid |
chart.Concentration | Classic risk reward scatter and concentration |
chart.EF.Weights | Chart weights along an efficient frontier |
chart.EF.Weights.efficient.frontier | Chart weights along an efficient frontier |
chart.EF.Weights.optimize.portfolio | Chart weights along an efficient frontier |
chart.EfficientFrontier | Chart the efficient frontier and risk-return scatter |
chart.EfficientFrontier.efficient.frontier | Chart the efficient frontier and risk-return scatter |
chart.EfficientFrontier.optimize.portfolio | Chart the efficient frontier and risk-return scatter |
chart.EfficientFrontier.optimize.portfolio.ROI | Chart the efficient frontier and risk-return scatter |
chart.EfficientFrontierOverlay | Plot multiple efficient frontiers |
chart.GroupWeights | Chart weights by group or category |
chart.RiskBudget | Generic method to chart risk contribution |
chart.RiskBudget.opt.list | Generic method to chart risk contribution |
chart.RiskBudget.optimize.portfolio | Generic method to chart risk contribution |
chart.RiskBudget.optimize.portfolio.rebalancing | Generic method to chart risk contribution |
chart.RiskReward | classic risk reward scatter |
chart.RiskReward.opt.list | classic risk reward scatter |
chart.RiskReward.optimize.portfolio.DEoptim | classic risk reward scatter |
chart.RiskReward.optimize.portfolio.GenSA | classic risk reward scatter |
chart.RiskReward.optimize.portfolio.pso | classic risk reward scatter |
chart.RiskReward.optimize.portfolio.random | classic risk reward scatter |
chart.RiskReward.optimize.portfolio.ROI | classic risk reward scatter |
chart.Weights | boxplot of the weights of the optimal portfolios |
chart.Weights.opt.list | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.DEoptim | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.GenSA | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.pso | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.random | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.rebalancing | boxplot of the weights of the optimal portfolios |
chart.Weights.optimize.portfolio.ROI | boxplot of the weights of the optimal portfolios |
check_constraints | check if a set of weights satisfies the constraints |
cokurtosisMF | Cokurtosis Matrix Estimate |
cokurtosisSF | Cokurtosis Matrix Estimate |
combine.optimizations | Combine objects created by optimize.portfolio |
combine.portfolios | Combine a list of portfolio objects |
constrained_objective | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
constrained_objective_v1 | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
constrained_objective_v2 | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
constraint | constructor for class constraint |
constraint_ROI | constructor for class constraint_ROI |
constraint_v2 | constructor for v2 constraint specification |
coskewnessMF | Coskewness Matrix Estimate |
coskewnessSF | Coskewness Matrix Estimate |
covarianceMF | Covariance Matrix Estimate |
covarianceSF | Covariance Matrix Estimate |
create.EfficientFrontier | create an efficient frontier |
diversification | Function to compute diversification as a constraint |
diversification_constraint | constructor for diversification_constraint |
EntropyProg | Entropy pooling program for blending views on scenarios with a prior scenario-probability distribution |
equal.weight | Create an equal weight portfolio |
etl_milp_opt | Minimum ETL MILP Optimization |
etl_opt | Minimum ETL LP Optimization |
extractCokurtosis | Cokurtosis Estimate |
extractCoskewness | Coskewness Estimate |
extractCovariance | Covariance Estimate |
extractEfficientFrontier | Extract the efficient frontier data points |
extractGroups | Extract the group and/or category weights |
extractObjectiveMeasures | Extract the objective measures |
extractStats | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.DEoptim | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.GenSA | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.parallel | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.pso | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.random | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractStats.optimize.portfolio.ROI | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
extractWeights | Extract weights from a portfolio run via 'optimize.portfolio' or 'optimize.portfolio.rebalancing' |
factor_exposure_constraint | Constructor for factor exposure constraint |
fn_map | mapping function to transform or penalize weights that violate constraints |
generatesequence | create a sequence of possible weights for random or brute force portfolios |
get_constraints | Helper function to get the enabled constraints out of the portfolio object |
gmv_opt | GMV/QU QP Optimization |
gmv_opt_leverage | GMV/QU QP Optimization with Turnover Constraint |
gmv_opt_ptc | GMV/QU QP Optimization with Proportional Transaction Cost Constraint |
gmv_opt_toc | GMV/QU QP Optimization with Turnover Constraint |
group_constraint | constructor for group_constraint |
group_fail | Test if group constraints have been violated |
HHI | Concentration of weights |
indexes | Six Major Economic Indexes |
insert_constraints | Insert a list of constraints into the constraints slot of a portfolio object |
insert_objectives | Insert a list of objectives into the objectives slot of a portfolio object |
inverse.volatility.weight | Create an inverse volatility weighted portfolio |
is.constraint | check function for constraints |
is.objective | check class of an objective object |
is.portfolio | check function for portfolio |
leverage_exposure_constraint | constructor for leverage_exposure_constraint |
maxret_milp_opt | Maximum Return MILP Optimization |
maxret_opt | Maximum Return LP Optimization |
meanetl.efficient.frontier | Generate the efficient frontier for a mean-etl portfolio |
meanvar.efficient.frontier | Generate the efficient frontier for a mean-variance portfolio |
meucci.moments | Compute moments |
meucci.ranking | Asset Ranking |
minmax_objective | constructor for class tmp_minmax_objective |
mult.portfolio.spec | Multple Layer Portfolio Specification |
name.replace | utility function to replace awkward named from unlist |
objective | constructor for class 'objective' |
optimize.portfolio | Constrained optimization of portfolios |
optimize.portfolio.parallel | Execute multiple optimize.portfolio calls, presumably in parallel |
optimize.portfolio.rebalancing | Portfolio Optimization with Rebalancing Periods |
optimize.portfolio.rebalancing_v1 | Portfolio Optimization with Rebalancing Periods |
optimize.portfolio_v1 | Constrained optimization of portfolios |
optimize.portfolio_v2 | Constrained optimization of portfolios |
plot.optimize.portfolio | plot method for objects of class 'optimize.portfolio' |
plot.optimize.portfolio.DEoptim | plot method for objects of class 'optimize.portfolio' |
plot.optimize.portfolio.GenSA | plot method for objects of class 'optimize.portfolio' |
plot.optimize.portfolio.pso | plot method for objects of class 'optimize.portfolio' |
plot.optimize.portfolio.random | plot method for objects of class 'optimize.portfolio' |
plot.optimize.portfolio.ROI | plot method for objects of class 'optimize.portfolio' |
portfolio | constructor for class portfolio |
portfolio.moments.bl | Portfolio Moments |
portfolio.moments.boudt | Portfolio Moments |
portfolio.spec | constructor for class portfolio |
PortfolioAnalytics | Numeric methods for optimization of portfolios |
portfolio_risk_objective | constructor for class portfolio_risk_objective |
position_limit_constraint | constructor for position_limit_constraint |
pos_limit_fail | function to check for violation of position limits constraints |
print.constraint | print method for constraint objects |
print.efficient.frontier | Print an efficient frontier object |
print.optimize.portfolio.DEoptim | Printing output of optimize.portfolio |
print.optimize.portfolio.GenSA | Printing output of optimize.portfolio |
print.optimize.portfolio.pso | Printing output of optimize.portfolio |
print.optimize.portfolio.random | Printing output of optimize.portfolio |
print.optimize.portfolio.rebalancing | Printing output of optimize.portfolio.rebalancing |
print.optimize.portfolio.ROI | Printing output of optimize.portfolio |
print.portfolio | Printing Portfolio Specification Objects |
print.summary.optimize.portfolio | Printing summary output of optimize.portfolio |
print.summary.optimize.portfolio.rebalancing | Printing summary output of optimize.portfolio.rebalancing |
quadratic_utility_objective | constructor for quadratic utility objective |
randomize_portfolio | version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset |
randomize_portfolio_v1 | Random portfolio sample method |
randomize_portfolio_v2 | version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset |
random_portfolios | version 2 generate an arbitary number of constrained random portfolios |
random_portfolios_v1 | generate an arbitary number of constrained random portfolios |
random_portfolios_v2 | version 2 generate an arbitary number of constrained random portfolios |
random_walk_portfolios | deprecated random portfolios wrapper until we write a random trades function |
regime.portfolios | Regime Portfolios |
return_constraint | constructor for return_constraint |
return_objective | constructor for class return_objective |
risk_budget_objective | constructor for class risk_budget_objective |
rp_grid | Generate random portfolios based on grid search method |
rp_sample | Generate random portfolios using the sample method |
rp_simplex | Generate random portfolios using the simplex method |
rp_transform | Transform a weights vector to satisfy constraints |
scatterFUN | Apply a risk or return function to asset returns |
set.portfolio.moments | Portfolio Moments |
set.portfolio.moments_v1 | set portfolio moments for use by lower level optimization functions |
set.portfolio.moments_v2 | Portfolio Moments |
statistical.factor.model | Statistical Factor Model |
summary.efficient.frontier | Summarize an efficient frontier object |
summary.optimize.portfolio | Summarizing output of optimize.portfolio |
summary.optimize.portfolio.rebalancing | summary method for optimize.portfolio.rebalancing |
summary.portfolio | Summarize Portfolio Specification Objects |
trailingFUN | apply a function over a configurable trailing period |
transaction_cost_constraint | constructor for transaction_cost_constraint |
turnover | Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with 'add.objective' |
turnover_constraint | constructor for turnover_constraint |
turnover_objective | constructor for class turnover_objective |
update.constraint | function for updating constrints, not well tested, may be broken |
update_constraint_v1tov2 | Helper function to update v1_constraint objects to v2 specification in the portfolio object |
var.portfolio | Calculate portfolio variance |
weight_concentration_objective | Constructor for weight concentration objective |
weight_sum_constraint | constructor for weight_sum_constraint |