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RiskPortfolios

Computation of Risk-Based Portfolios

Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) <doi:10.1007/s10479-017-2474-7> and Ardia et al. (2017) <doi:10.21105/joss.00171>.

Functions (6)

Industry_10

Industry Portfolios

RiskPortfolios

RiskPortfolios: Computation of risk-based portfolios in R

covEstimation

Covariance matrix estimation

meanEstimation

Estimation of mean returns

optimalPortfolio

Optimal portfolio

semidevEstimation

Estimation of the semideviation

RiskPortfolios

Computation of Risk-Based Portfolios

v2.1.5

GPL (>= 2)

Authors

David Ardia [aut, cre, cph] (<https://orcid.org/0000-0003-2823-782X>), Kris Boudt [aut], Jean-Philippe Gagnon-Fleury [aut]

Initial release

2021-04-21

RiskPortfolios

Functions (6)

RiskPortfolios

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