Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.
| Version: | 1.1.1 |
| Depends: | R (≥ 3.3.0) |
| Imports: | Rsymphony |
| Suggests: | mvtnorm, Rglpk, testthat |
| Published: | 2019-02-07 |
| DOI: | 10.32614/CRAN.package.PortfolioOptim |
| Author: | Andrzej Palczewski [aut, cre], Aleksandra Dabrowska [ctb] |
| Maintainer: | Andrzej Palczewski <A.Palczewski at mimuw.edu.pl> |
| License: | GNU General Public License version 3 |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | PortfolioOptim results |
| Reference manual: | PortfolioOptim.pdf |
| Package source: | PortfolioOptim_1.1.1.tar.gz |
| Windows binaries: | r-devel: PortfolioOptim_1.1.1.zip, r-release: PortfolioOptim_1.1.1.zip, r-oldrel: PortfolioOptim_1.1.1.zip |
| macOS binaries: | r-release (arm64): PortfolioOptim_1.1.1.tgz, r-oldrel (arm64): PortfolioOptim_1.1.1.tgz, r-release (x86_64): PortfolioOptim_1.1.1.tgz, r-oldrel (x86_64): PortfolioOptim_1.1.1.tgz |
| Old sources: | PortfolioOptim archive |
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