PortfolioAnalytics

Computes the Black-Litterman formula for the moments of the posterior normal.

compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model

Entropy pooling program for blending views on scenarios with a prior scenario-probability distribution

Concentration of weights

Numeric methods for optimization of portfolios

Asset Ranking

General interface for adding and/or updating optimization constraints.

General interface for adding optimization objectives, including risk, return, and risk budget

Add sub-portfolio

Apply a risk or return function to a set of weights

barplot of group weights by group or category

Black Litterman Estimates

constructor for box_constraint.

Center

Buckets Centroid

Complete Cases Centroid

Multiple Sectors Centroid

Positive and Negative View Centroid

Classic risk reward scatter and concentration

Chart weights along an efficient frontier

Chart the efficient frontier and risk-return scatter

Plot multiple efficient frontiers

Chart weights by group or category

Generic method to chart risk contribution

classic risk reward scatter

boxplot of the weights of the optimal portfolios

check if a set of weights satisfies the constraints

Cokurtosis Matrix Estimate

Cokurtosis Matrix Estimate

Combine objects created by optimize.portfolio

Combine a list of portfolio objects

calculate a numeric return value for a portfolio based on a set of constraints and objectives

constructors for class constraint

constructor for class constraint_ROI

Coskewness Matrix Estimate

Coskewness Matrix Estimate

Covariance Matrix Estimate

Covariance Matrix Estimate

create an efficient frontier

Function to compute diversification as a constraint

constructor for diversification_constraint

Create an equal weight portfolio

Minimum ETL MILP Optimization

Minimum ETL LP Optimization

Cokurtosis Estimate

Coskewness Estimate

Covariance Estimate

Extract the efficient frontier data points

Extract the group and/or category weights

Extract the objective measures

extract some stats and weights from a portfolio run via optimize.portfolio

Extract weights from a portfolio run via optimize.portfolio or optimize.portfolio.rebalancing

Constructor for factor exposure constraint

mapping function to transform or penalize weights that violate constraints

create a sequence of possible weights for random or brute force portfolios

Helper function to get the enabled constraints out of the portfolio object When the v1_constraint object is instantiated via constraint, the arguments min_sum, max_sum, min, and max are either specified by the user or default values are assigned. These are required by other functions such as optimize.portfolio and constrained_objective . This function will check that these variables are in the portfolio object in the constraints list. We will default to min_sum=1 and max_sum=1 if leverage constraints are not specified. We will default to min=-Inf and max=Inf if box constraints are not specified. This function is used at the beginning of optimize.portfolio and other functions to extract the constraints from the portfolio object. We Use the same naming as the v1_constraint object.

GMV/QU QP Optimization

GMV/QU QP Optimization with Turnover Constraint

GMV/QU QP Optimization with Proportional Transaction Cost Constraint

GMV/QU QP Optimization with Turnover Constraint

constructor for group_constraint

Test if group constraints have been violated

Six Major Economic Indexes

Insert a list of constraints into the constraints slot of a portfolio object

Insert a list of objectives into the objectives slot of a portfolio object

Create an inverse volatility weighted portfolio

check function for constraints

check class of an objective object

check function for portfolio

constructor for leverage_exposure_constraint

Maximum Return MILP Optimization

Maximum Return LP Optimization

Generate the efficient frontier for a mean-etl portfolio

Generate the efficient frontier for a mean-variance portfolio

Compute moments

Asset Ranking

constructor for class tmp_minmax_objective

Multple Layer Portfolio Specification

utility function to replace awkward named from unlist

constructor for class 'objective'

Constrained optimization of portfolios

Execute multiple optimize.portfolio calls, presumably in parallel

Portfolio Optimization with Rebalancing Periods

Generates histogram

plot method for objects of class optimize.portfolio

Portfolio Moments

Portfolio Moments

constructor for class portfolio

constructor for class portfolio_risk_objective

function to check for violation of position limits constraints

constructor for position_limit_constraint

print method for constraint objects

Print an efficient frontier object

Printing output of optimize.portfolio

Printing output of optimize.portfolio.rebalancing

Printing Portfolio Specification Objects

Printing summary output of optimize.portfolio

Printing summary output of optimize.portfolio.rebalancing

constructor for quadratic utility objective

version 2 generate an arbitary number of constrained random portfolios

generate an arbitary number of constrained random portfolios

deprecated random portfolios wrapper until we write a random trades function

version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset

Random portfolio sample method

Regime Portfolios

constructor for return_constraint

constructor for class return_objective

constructor for class risk_budget_objective

Generate random portfolios based on grid search method

Generate random portfolios using the sample method

Generate random portfolios using the simplex method

Transform a weights vector to satisfy constraints

Apply a risk or return function to asset returns

Portfolio Moments

set portfolio moments for use by lower level optimization functions

Statistical Factor Model

Summarize an efficient frontier object

Summarizing output of optimize.portfolio

summary method for optimize.portfolio.rebalancing

Summarize Portfolio Specification Objects

apply a function over a configurable trailing period

constructor for transaction_cost_constraint

Calculates turnover given two vectors of weights. This is used as an objective function and is called when the user adds an objective of type turnover with add.objective

constructor for turnover_constraint

constructor for class turnover_objective

function for updating constrints, not well tested, may be broken

Helper function to update v1_constraint objects to v2 specification in the portfolio object

Calculate portfolio variance

Constructor for weight concentration objective

constructor for weight_sum_constraint