fPortfolio-package {fPortfolio}R Documentation

Portfolio Modelling, Optimization and Backtesting

Description

The Rmetrics "fPortfolio" package is a very powerful collection of functions to optimize portfolios and to analyze them from different points ov view.

The implemented portfolio models include the traditional mean–variance Markowitz portfolio, robust variants of the Markowitz portfoio, and the mean-CVaR conditional value-at-Risk portfolio.

Optimization is possible by minimizing the risk if the return is specified.

Linear box/group constraints can be specified.

Depending on the model of the portfolio and the constraints a QP (quadratic programming) and a LP (linear programming) solver are provided for optimization

Several kinds of charts can be produced using graphics tools to visualize the results.

Details

Package: fPortfolio
Type: Package
Date: 2009
License: GPL Version 2 or later
Copyright: (c) 1999-2008 Diethelm Wuertz and Rmetrics Association
URL: http://www.rmetrics.org

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.


[Package fPortfolio version 2100.77 Index]