The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
The classical Markowitz's mean-variance portfolio formulation ignores heavy tails and skewness. High-order portfolios use higher order moments to better characterize the return distribution. Different formulations and fast algorithms are proposed for high-order portfolios based on the mean, variance, skewness, and kurtosis. The package is based on the papers: R. Zhou and D. P. Palomar (2021). "Solving High-Order Portfolios via Successive Convex Approximation Algorithms." <doi:10.48550/arXiv.2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar (2022). "Efficient and Scalable High-Order Portfolios Design via Parametric Skew-t Distribution." <doi:10.48550/arXiv.2206.02412>.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | ECOSolveR, lpSolveAPI, nloptr, PerformanceAnalytics, quadprog, fitHeavyTail (≥ 0.1.4), stats, utils |
| Suggests: | knitr, ggplot2, rmarkdown, R.rsp, testthat (≥ 3.0.0) |
| Published: | 2022-10-20 |
| DOI: | 10.32614/CRAN.package.highOrderPortfolios |
| Author: | Daniel P. Palomar [cre, aut], Rui Zhou [aut], Xiwen Wang [aut] |
| Maintainer: | Daniel P. Palomar <daniel.p.palomar at gmail.com> |
| BugReports: | https://github.com/dppalomar/highOrderPortfolios/issues |
| License: | GPL-3 |
| URL: | https://github.com/dppalomar/highOrderPortfolios, https://www.danielppalomar.com |
| NeedsCompilation: | yes |
| Citation: | highOrderPortfolios citation info |
| Materials: | README NEWS |
| CRAN checks: | highOrderPortfolios results |
| Reference manual: | highOrderPortfolios.pdf |
| Vignettes: |
Design of High-order Portfolios |
| Package source: | highOrderPortfolios_0.1.1.tar.gz |
| Windows binaries: | r-devel: highOrderPortfolios_0.1.1.zip, r-release: highOrderPortfolios_0.1.1.zip, r-oldrel: highOrderPortfolios_0.1.1.zip |
| macOS binaries: | r-release (arm64): highOrderPortfolios_0.1.1.tgz, r-oldrel (arm64): highOrderPortfolios_0.1.1.tgz, r-release (x86_64): highOrderPortfolios_0.1.1.tgz, r-oldrel (x86_64): highOrderPortfolios_0.1.1.tgz |
| Old sources: | highOrderPortfolios archive |
Please use the canonical form https://CRAN.R-project.org/package=highOrderPortfolios 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.
Health stats visible at Monitor.