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PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Portfolio optimization and analysis routines and graphics.

Version: 2.1.0
Depends: R (≥ 4.0.0), zoo, xts (≥ 0.10-1), foreach, PerformanceAnalytics (≥ 1.5.1)
Imports: methods, GenSA, ROI.plugin.symphony, mco, pso
Suggests: quantmod, DEoptim (≥ 2.2.1), iterators, fGarch, Rglpk, quadprog, ROI (≥ 0.1.0), ROI.plugin.glpk (≥ 0.0.2), ROI.plugin.quadprog (≥ 0.0.2), corpcor, testthat, nloptr (≥ 1.0.0), MASS, robustbase, osqp, CVXR, data.table, knitr, rmarkdown, GSE, RobStatTM, PCRA, R.rsp
Published: 2024-12-04
DOI: 10.32614/CRAN.package.PortfolioAnalytics
Author: Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Ross Bennett [ctb, cph], Kris Boudt [ctb, cph], Xinran Zhao [cph], R. Douglas Martin [ctb], Guy Yollin [ctb], Hezky Varon [ctb], Xiaokang Feng [ctb], Yifu Kang [ctb]
Maintainer: Brian G. Peterson <brian at braverock.com>
License: GPL-3
Copyright: (c) 2004-2024
URL: https://github.com/braverock/PortfolioAnalytics
NeedsCompilation: yes
Materials: README
CRAN checks: PortfolioAnalytics results

Documentation:

Reference manual: PortfolioAnalytics.pdf
Vignettes: CVXR for PortfolioAnalytics (source)
Using Robust Covariance Matrix Estimators in PortfolioAnalytics (source)
Portfolio Optimization with ROI in PortfolioAnalytics (source, R code)
Custom Moment and Objective Functions (source, R code)
An Introduction to Portfolio Optimization with PortfolioAnalytics (source, R code)
Portfolio Optimization with CVaR budgets in PortfolioAnalytics (source, R code)

Downloads:

Package source: PortfolioAnalytics_2.1.0.tar.gz
Windows binaries: r-devel: PortfolioAnalytics_2.1.0.zip, r-release: PortfolioAnalytics_2.1.0.zip, r-oldrel: PortfolioAnalytics_2.1.0.zip
macOS binaries: r-release (arm64): PortfolioAnalytics_2.1.0.tgz, r-oldrel (arm64): PortfolioAnalytics_2.1.0.tgz, r-release (x86_64): PortfolioAnalytics_2.1.0.tgz, r-oldrel (x86_64): PortfolioAnalytics_2.1.0.tgz
Old sources: PortfolioAnalytics archive

Reverse dependencies:

Reverse imports: facmodTS, PCRA
Reverse suggests: portsort

Linking:

Please use the canonical form https://CRAN.R-project.org/package=PortfolioAnalytics to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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