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PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Portfolio optimization and analysis routines and graphics.

Version: 2.0.0
Depends: R (≥ 4.0.0), zoo, xts (≥ 0.10-1), foreach, PerformanceAnalytics (≥ 1.5.1)
Imports: methods, GenSA, ROI.plugin.symphony, mco, pso
Suggests: quantmod, DEoptim (≥ 2.2.1), iterators, fGarch, Rglpk, quadprog, ROI (≥ 0.1.0), ROI.plugin.glpk (≥ 0.0.2), ROI.plugin.quadprog (≥ 0.0.2), corpcor, testthat, nloptr (≥ 1.0.0), MASS, robustbase, osqp, CVXR, data.table, knitr, rmarkdown, GSE, RobStatTM, PCRA, R.rsp
Published: 2024-07-03
DOI: 10.32614/CRAN.package.PortfolioAnalytics
Author: Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Ross Bennett [ctb, cph], Kris Boudt [ctb, cph], Xinran Zhao [ctb], R. Douglas Martin [ctb], Guy Yollin [ctb], Hezky Varon [ctb], Xiaokang Feng [ctb], Yifu Kang [ctb]
Maintainer: Brian G. Peterson <brian at braverock.com>
License: GPL-3
Copyright: (c) 2004-2024
URL: https://github.com/braverock/PortfolioAnalytics
NeedsCompilation: yes
Materials: README
CRAN checks: PortfolioAnalytics results

Documentation:

Reference manual: PortfolioAnalytics.pdf
Vignettes: CVXR for PortfolioAnalytics
Using Robust Covariance Matrix Estimators in PortfolioAnalytics
Portfolio Optimization with ROI in PortfolioAnalytics
Custom Moment and Objective Functions
An Introduction to Portfolio Optimization with PortfolioAnalytics
Portfolio Optimization with CVaR budgets in PortfolioAnalytics

Downloads:

Package source: PortfolioAnalytics_2.0.0.tar.gz
Windows binaries: r-devel: PortfolioAnalytics_2.0.0.zip, r-release: PortfolioAnalytics_2.0.0.zip, r-oldrel: PortfolioAnalytics_2.0.0.zip
macOS binaries: r-release (arm64): PortfolioAnalytics_2.0.0.tgz, r-oldrel (arm64): PortfolioAnalytics_2.0.0.tgz, r-release (x86_64): PortfolioAnalytics_2.0.0.tgz, r-oldrel (x86_64): PortfolioAnalytics_2.0.0.tgz
Old sources: PortfolioAnalytics archive

Reverse dependencies:

Reverse imports: facmodTS, PCRA
Reverse suggests: portsort

Linking:

Please use the canonical form https://CRAN.R-project.org/package=PortfolioAnalytics to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.