A B C D E F G H I L M N O P Q R S T U V W
| PortfolioAnalytics-package | Numeric methods for optimization of portfolios |
| ac.ranking | Asset Ranking |
| add.constraint | General interface for adding and/or updating optimization constraints. |
| add.objective | General interface for adding optimization objectives, including risk, return, and risk budget |
| add.objective_v1 | General interface for adding optimization objectives, including risk, return, and risk budget |
| add.objective_v2 | General interface for adding optimization objectives, including risk, return, and risk budget |
| add.sub.portfolio | Add sub-portfolio |
| applyFUN | Apply a risk or return function to a set of weights |
| barplotGroupWeights | barplot of group weights by group or category |
| black.litterman | Black Litterman Estimates |
| BlackLittermanFormula | Computes the Black-Litterman formula for the moments of the posterior normal. |
| box_constraint | constructor for box_constraint. |
| CCCgarch.MM | compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model |
| center | Center |
| centroid.buckets | Buckets Centroid |
| centroid.complete.mc | Complete Cases Centroid |
| centroid.sectors | Multiple Sectors Centroid |
| centroid.sign | Positive and Negative View Centroid |
| chart.Concentration | Classic risk reward scatter and concentration |
| chart.EF.Weights | Chart weights along an efficient frontier |
| chart.EF.Weights.efficient.frontier | Chart weights along an efficient frontier |
| chart.EF.Weights.optimize.portfolio | Chart weights along an efficient frontier |
| chart.EfficientFrontier | Chart the efficient frontier and risk-return scatter |
| chart.EfficientFrontier.efficient.frontier | Chart the efficient frontier and risk-return scatter |
| chart.EfficientFrontier.optimize.portfolio | Chart the efficient frontier and risk-return scatter |
| chart.EfficientFrontier.optimize.portfolio.ROI | Chart the efficient frontier and risk-return scatter |
| chart.EfficientFrontierOverlay | Plot multiple efficient frontiers |
| chart.GroupWeights | Chart weights by group or category |
| chart.RiskBudget | Generic method to chart risk contribution |
| chart.RiskBudget.opt.list | Generic method to chart risk contribution |
| chart.RiskBudget.optimize.portfolio | Generic method to chart risk contribution |
| chart.RiskBudget.optimize.portfolio.rebalancing | Generic method to chart risk contribution |
| chart.RiskReward | classic risk reward scatter |
| chart.RiskReward.opt.list | classic risk reward scatter |
| chart.RiskReward.optimize.portfolio.DEoptim | classic risk reward scatter |
| chart.RiskReward.optimize.portfolio.GenSA | classic risk reward scatter |
| chart.RiskReward.optimize.portfolio.pso | classic risk reward scatter |
| chart.RiskReward.optimize.portfolio.random | classic risk reward scatter |
| chart.RiskReward.optimize.portfolio.ROI | classic risk reward scatter |
| chart.Weights | boxplot of the weights of the optimal portfolios |
| chart.Weights.opt.list | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.DEoptim | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.GenSA | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.pso | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.random | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.rebalancing | boxplot of the weights of the optimal portfolios |
| chart.Weights.optimize.portfolio.ROI | boxplot of the weights of the optimal portfolios |
| check_constraints | check if a set of weights satisfies the constraints |
| cokurtosisMF | Cokurtosis Matrix Estimate |
| cokurtosisSF | Cokurtosis Matrix Estimate |
| combine.optimizations | Combine objects created by optimize.portfolio |
| combine.portfolios | Combine a list of portfolio objects |
| constrained_objective | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
| constrained_objective_v1 | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
| constrained_objective_v2 | calculate a numeric return value for a portfolio based on a set of constraints and objectives |
| constraint | constructor for class constraint |
| constraint_ROI | constructor for class constraint_ROI |
| constraint_v2 | constructor for v2 constraint specification |
| coskewnessMF | Coskewness Matrix Estimate |
| coskewnessSF | Coskewness Matrix Estimate |
| covarianceMF | Covariance Matrix Estimate |
| covarianceSF | Covariance Matrix Estimate |
| create.EfficientFrontier | create an efficient frontier |
| diversification | Function to compute diversification as a constraint |
| diversification_constraint | constructor for diversification_constraint |
| EntropyProg | Entropy pooling program for blending views on scenarios with a prior scenario-probability distribution |
| equal.weight | Create an equal weight portfolio |
| etl_milp_opt | Minimum ETL MILP Optimization |
| etl_opt | Minimum ETL LP Optimization |
| extractCokurtosis | Cokurtosis Estimate |
| extractCoskewness | Coskewness Estimate |
| extractCovariance | Covariance Estimate |
| extractEfficientFrontier | Extract the efficient frontier data points |
| extractGroups | Extract the group and/or category weights |
| extractObjectiveMeasures | Extract the objective measures |
| extractStats | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.DEoptim | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.GenSA | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.parallel | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.pso | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.random | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractStats.optimize.portfolio.ROI | extract some stats and weights from a portfolio run via 'optimize.portfolio' |
| extractWeights | Extract weights from a portfolio run via 'optimize.portfolio' or 'optimize.portfolio.rebalancing' |
| factor_exposure_constraint | Constructor for factor exposure constraint |
| fn_map | mapping function to transform or penalize weights that violate constraints |
| generatesequence | create a sequence of possible weights for random or brute force portfolios |
| get_constraints | Helper function to get the enabled constraints out of the portfolio object |
| gmv_opt | GMV/QU QP Optimization |
| gmv_opt_leverage | GMV/QU QP Optimization with Turnover Constraint |
| gmv_opt_ptc | GMV/QU QP Optimization with Proportional Transaction Cost Constraint |
| gmv_opt_toc | GMV/QU QP Optimization with Turnover Constraint |
| group_constraint | constructor for group_constraint |
| group_fail | Test if group constraints have been violated |
| HHI | Concentration of weights |
| indexes | Six Major Economic Indexes |
| insert_constraints | Insert a list of constraints into the constraints slot of a portfolio object |
| insert_objectives | Insert a list of objectives into the objectives slot of a portfolio object |
| inverse.volatility.weight | Create an inverse volatility weighted portfolio |
| is.constraint | check function for constraints |
| is.objective | check class of an objective object |
| is.portfolio | check function for portfolio |
| leverage_exposure_constraint | constructor for leverage_exposure_constraint |
| maxret_milp_opt | Maximum Return MILP Optimization |
| maxret_opt | Maximum Return LP Optimization |
| meanetl.efficient.frontier | Generate the efficient frontier for a mean-etl portfolio |
| meanvar.efficient.frontier | Generate the efficient frontier for a mean-variance portfolio |
| meucci.moments | Compute moments |
| meucci.ranking | Asset Ranking |
| minmax_objective | constructor for class tmp_minmax_objective |
| mult.portfolio.spec | Multple Layer Portfolio Specification |
| name.replace | utility function to replace awkward named from unlist |
| objective | constructor for class 'objective' |
| optimize.portfolio | Constrained optimization of portfolios |
| optimize.portfolio.parallel | Execute multiple optimize.portfolio calls, presumably in parallel |
| optimize.portfolio.rebalancing | Portfolio Optimization with Rebalancing Periods |
| optimize.portfolio.rebalancing_v1 | Portfolio Optimization with Rebalancing Periods |
| optimize.portfolio_v1 | Constrained optimization of portfolios |
| optimize.portfolio_v2 | Constrained optimization of portfolios |
| plot.optimize.portfolio | plot method for objects of class 'optimize.portfolio' |
| plot.optimize.portfolio.DEoptim | plot method for objects of class 'optimize.portfolio' |
| plot.optimize.portfolio.GenSA | plot method for objects of class 'optimize.portfolio' |
| plot.optimize.portfolio.pso | plot method for objects of class 'optimize.portfolio' |
| plot.optimize.portfolio.random | plot method for objects of class 'optimize.portfolio' |
| plot.optimize.portfolio.ROI | plot method for objects of class 'optimize.portfolio' |
| portfolio | constructor for class portfolio |
| portfolio.moments.bl | Portfolio Moments |
| portfolio.moments.boudt | Portfolio Moments |
| portfolio.spec | constructor for class portfolio |
| PortfolioAnalytics | Numeric methods for optimization of portfolios |
| portfolio_risk_objective | constructor for class portfolio_risk_objective |
| position_limit_constraint | constructor for position_limit_constraint |
| pos_limit_fail | function to check for violation of position limits constraints |
| print.constraint | print method for constraint objects |
| print.efficient.frontier | Print an efficient frontier object |
| print.optimize.portfolio.DEoptim | Printing output of optimize.portfolio |
| print.optimize.portfolio.GenSA | Printing output of optimize.portfolio |
| print.optimize.portfolio.pso | Printing output of optimize.portfolio |
| print.optimize.portfolio.random | Printing output of optimize.portfolio |
| print.optimize.portfolio.rebalancing | Printing output of optimize.portfolio.rebalancing |
| print.optimize.portfolio.ROI | Printing output of optimize.portfolio |
| print.portfolio | Printing Portfolio Specification Objects |
| print.summary.optimize.portfolio | Printing summary output of optimize.portfolio |
| print.summary.optimize.portfolio.rebalancing | Printing summary output of optimize.portfolio.rebalancing |
| quadratic_utility_objective | constructor for quadratic utility objective |
| randomize_portfolio | version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset |
| randomize_portfolio_v1 | Random portfolio sample method |
| randomize_portfolio_v2 | version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset |
| random_portfolios | version 2 generate an arbitary number of constrained random portfolios |
| random_portfolios_v1 | generate an arbitary number of constrained random portfolios |
| random_portfolios_v2 | version 2 generate an arbitary number of constrained random portfolios |
| random_walk_portfolios | deprecated random portfolios wrapper until we write a random trades function |
| regime.portfolios | Regime Portfolios |
| return_constraint | constructor for return_constraint |
| return_objective | constructor for class return_objective |
| risk_budget_objective | constructor for class risk_budget_objective |
| rp_grid | Generate random portfolios based on grid search method |
| rp_sample | Generate random portfolios using the sample method |
| rp_simplex | Generate random portfolios using the simplex method |
| rp_transform | Transform a weights vector to satisfy constraints |
| scatterFUN | Apply a risk or return function to asset returns |
| set.portfolio.moments | Portfolio Moments |
| set.portfolio.moments_v1 | set portfolio moments for use by lower level optimization functions |
| set.portfolio.moments_v2 | Portfolio Moments |
| statistical.factor.model | Statistical Factor Model |
| summary.efficient.frontier | Summarize an efficient frontier object |
| summary.optimize.portfolio | Summarizing output of optimize.portfolio |
| summary.optimize.portfolio.rebalancing | summary method for optimize.portfolio.rebalancing |
| summary.portfolio | Summarize Portfolio Specification Objects |
| trailingFUN | apply a function over a configurable trailing period |
| transaction_cost_constraint | constructor for transaction_cost_constraint |
| turnover | 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' |
| turnover_constraint | constructor for turnover_constraint |
| turnover_objective | constructor for class turnover_objective |
| update.constraint | function for updating constrints, not well tested, may be broken |
| update_constraint_v1tov2 | Helper function to update v1_constraint objects to v2 specification in the portfolio object |
| var.portfolio | Calculate portfolio variance |
| weight_concentration_objective | Constructor for weight concentration objective |
| weight_sum_constraint | constructor for weight_sum_constraint |