PortfolioOptim: Small/Large Sample Portfolio Optimization

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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