The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
Analytical computation of rolling optimization for time-series data. The 'rolloptim' package solves constrained quadratic and linear programs in closed form by applying Lagrangian multipliers and the Karush-Kuhn-Tucker conditions (Kuhn and Tucker, 1951, <doi:10.1525/9780520411586-036>) to perform mean-variance portfolio optimization (Markowitz, 1952, <doi:10.1111/j.1540-6261.1952.tb01525.x>) over rolling windows. For each window, the analytical solution computes the optimal weights that minimize variance, maximize expected return, minimize residual sum of squares, or maximize quadratic utility, subject to a total-weight equality constraint and box bounds on each weight. Use cases include mean-variance portfolio optimization, expected-return maximization, and constrained regression. The package supports rolling optimizations with constraints via the total, lower, and upper arguments. The implementation accepts rolling moments computed via the 'roll' package and uses 'RcppArmadillo' for linear algebra, with parallelism across windows provided by 'RcppParallel'.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp, RcppParallel |
| LinkingTo: | Rcpp, RcppArmadillo, RcppParallel |
| Suggests: | covr, CVXR, ROI, ROI.plugin.glpk, ROI.plugin.qpoases, ROI.plugin.quadprog, roll (≥ 1.1.7), testthat, zoo |
| Published: | 2026-07-11 |
| DOI: | 10.32614/CRAN.package.rolloptim |
| Author: | Jason Foster [aut, cre] |
| Maintainer: | Jason Foster <jason.j.foster at gmail.com> |
| BugReports: | https://github.com/jasonjfoster/rolloptim/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/jasonjfoster/rolloptim |
| NeedsCompilation: | yes |
| SystemRequirements: | GNU make |
| Materials: | README, NEWS |
| CRAN checks: | rolloptim results |
| Reference manual: | rolloptim.html , rolloptim.pdf |
| Package source: | rolloptim_1.0.0.tar.gz |
| Windows binaries: | r-devel: rolloptim_1.0.0.zip, r-release: rolloptim_1.0.0.zip, r-oldrel: rolloptim_1.0.0.zip |
| macOS binaries: | r-release (arm64): rolloptim_1.0.0.tgz, r-oldrel (arm64): rolloptim_1.0.0.tgz, r-release (x86_64): rolloptim_1.0.0.tgz, r-oldrel (x86_64): rolloptim_1.0.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=rolloptim 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.