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: 1.0.3
Depends: R (≥ 3.3.0)
Imports: Rglpk
Suggests: mvtnorm, testthat
Published: 2017-04-20
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_1.0.3.tar.gz
Windows binaries: r-devel: PortfolioOptim_1.0.3.zip, r-release: PortfolioOptim_1.0.3.zip, r-oldrel: PortfolioOptim_1.0.3.zip
OS X El Capitan binaries: r-release: not available
OS X Mavericks binaries: r-oldrel: PortfolioOptim_1.0.3.tgz


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