Rmetrics - Portfolio Selection and Optimization


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Documentation for package ‘fPortfolio’ version 260.72

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A B C D E F G J L M P R S T V W

-- A --

altInvest fPortfolio Data Sets
annualInvest fPortfolio Data Sets
assetsCorr fPortfolio Data Sets
attributesPie Portfolio Plots
attributesPlot Portfolio Plots

-- B --

berndtInvest fPortfolio Data Sets

-- C --

cmlPortfolio Portfolio Class
covEllipsesPlot Portfolio Plots
covRiskBudgetsPie Portfolio Plots
covRiskBudgetsPlot Portfolio Plots

-- D --

dmaxdd Drawdown Statistics
donlp2 Solve constrained nonlinear minimization problem
donlp2Control Control variables for Rdonlp2
DrawdownStatistics Drawdown Statistics

-- E --

efficientPortfolio Portfolio Class
equityFunds fPortfolio Data Sets
Extractors Extractors

-- F --

feasiblePortfolio Portfolio Class
fPFOLIODATA Portfolio Data Handling
fPFOLIODATA-class Portfolio Data Handling
fPFOLIOSPEC Specification of Portfolios
fPfoliospec Specification of Portfolios
fPFOLIOSPEC-class Specification of Portfolios
fPORTFOLIO Portfolio Class
fPORTFOLIO-class Portfolio Class
frontierPlot Portfolio Plots
frontierSlider Portfolio Slider

-- G --

getConstraints Extractors
getConstraints.fPORTFOLIO Portfolio Class Extractors
getCovRiskBudgets Extractors
getCovRiskBudgets.fPORTFOLIO Portfolio Class Extractors
getData Extractors
getData.fPFOLIODATA Portfolio Data Extractors
getData.fPORTFOLIO Portfolio Class Extractors
getEstimator Extractors
getEstimator.fPFOLIOSPEC Portfolio Specification Extractors
getEstimator.fPORTFOLIO Portfolio Class Extractors
getFrontier Extractors
getFrontier.fPORTFOLIO Portfolio Class Extractors
getMu Extractors
getMu.fPFOLIODATA Portfolio Data Extractors
getNames Extractors
getNames.fPFOLIODATA Portfolio Data Extractors
getNFrontierPoints Extractors
getNFrontierPoints.fPFOLIOSPEC Portfolio Specification Extractors
getNFrontierPoints.fPORTFOLIO Portfolio Class Extractors
getNumberOfAssets Extractors
getNumberOfAssets.fPFOLIODATA Portfolio Data Extractors
getNumberOfAssets.fPORTFOLIO Portfolio Class Extractors
getParams Extractors
getParams.fPFOLIOSPEC Portfolio Specification Extractors
getParams.fPORTFOLIO Portfolio Class Extractors
getPortfolio Extractors
getPortfolio.fPORTFOLIO Portfolio Class Extractors
getRiskFreeRate Extractors
getRiskFreeRate.fPFOLIOSPEC Portfolio Specification Extractors
getRiskFreeRate.fPORTFOLIO Portfolio Class Extractors
getSeries Extractors
getSeries.fPFOLIODATA Portfolio Data Extractors
getSeries.fPORTFOLIO Portfolio Class Extractors
getSigma Extractors
getSigma.fPFOLIODATA Portfolio Data Extractors
getSolver Extractors
getSolver.fPFOLIOSPEC Portfolio Specification Extractors
getSolver.fPORTFOLIO Portfolio Class Extractors
getSpec Extractors
getSpec.fPORTFOLIO Portfolio Class Extractors
getStatistics Extractors
getStatistics.fPFOLIODATA Portfolio Data Extractors
getStatistics.fPORTFOLIO Portfolio Class Extractors
getStatus.fPORTFOLIO Portfolio Class Extractors
getTailRisk Extractors
getTailRisk.fPFOLIODATA Portfolio Data Extractors
getTailRisk.fPFOLIOSPEC Portfolio Specification Extractors
getTailRiskBudgets Extractors
getTailRiskBudgets.fPORTFOLIO Portfolio Class Extractors
getTargetAlpha Extractors
getTargetAlpha.fPFOLIOSPEC Portfolio Specification Extractors
getTargetAlpha.fPORTFOLIO Portfolio Class Extractors
getTargetReturn Extractors
getTargetReturn.fPFOLIOSPEC Portfolio Specification Extractors
getTargetReturn.fPORTFOLIO Portfolio Class Extractors
getTargetRisk Extractors
getTargetRisk.fPFOLIOSPEC Portfolio Specification Extractors
getTargetRisk.fPORTFOLIO Portfolio Class Extractors
getTrace Extractors
getTrace.fPFOLIOSPEC Portfolio Specification Extractors
getTrace.fPORTFOLIO Portfolio Class Extractors
getType Extractors
getType.fPFOLIOSPEC Portfolio Specification Extractors
getType.fPORTFOLIO Portfolio Class Extractors
getWeights Extractors
getWeights.fPFOLIOSPEC Portfolio Specification Extractors
getWeights.fPORTFOLIO Portfolio Class Extractors

-- J --

jobstCov fPortfolio Data Sets

-- L --

lambdaCVaR Value-at-Risk Measures for Portfolios
largecap.ts fPortfolio Data Sets
LPP2005REC fPortfolio Data Sets

-- M --

maxddStats Drawdown Statistics
microcap.ts fPortfolio Data Sets
midcap.ts fPortfolio Data Sets
midcapD.ts fPortfolio Data Sets
minvariancePortfolio Portfolio Class

-- P --

pfolioCVaR Value-at-Risk Measures for Portfolios
pfolioCVaRplus Value-at-Risk Measures for Portfolios
pfolioHist Value-at-Risk Measures for Portfolios
pfolioMaxLoss Value-at-Risk Measures for Portfolios
pfolioReturn Value-at-Risk Measures for Portfolios
pfolioSigma Value-at-Risk Measures for Portfolios
pfolioTargetReturn Value-at-Risk Measures for Portfolios
pfolioTargetRisk Value-at-Risk Measures for Portfolios
pfolioVaR Value-at-Risk Measures for Portfolios
plot.fPORTFOLIO Portfolio Class
pmaxdd Drawdown Statistics
portfolio Portfolio Modelling, Optimization and Benchmarking
portfolioBacktesting Rolling Portfolio
portfolioBacktestingStats Rolling Portfolio
PortfolioClass Portfolio Class
PortfolioClassExtractors Portfolio Class Extractors
PortfolioConstraints Portfolio Constraints
portfolioConstraints Portfolio Constraints
PortfolioData Portfolio Data Handling
portfolioData Portfolio Data Handling
PortfolioDataExtractors Portfolio Data Extractors
PortfolioDataSets fPortfolio Data Sets
portfolioFrontier Portfolio Class
PortfolioPlots Portfolio Plots
PortfolioSlider Portfolio Slider
PortfolioSolver Portfolio Solver
PortfolioSpec Specification of Portfolios
portfolioSpec Specification of Portfolios
PortfolioSpecExtractors Portfolio Specification Extractors
portfolioStatistics Portfolio Data Handling

-- R --

rdonlp2 Solve constrained nonlinear minimization problem
rdonlp2Control Control variables for Rdonlp2
returns.three.ts fPortfolio Data Sets
rmaxdd Drawdown Statistics
rollingCmlPortfolio Rolling Portfolio
rollingMinvariancePortfolio Rolling Portfolio
RollingPortfolio Rolling Portfolio
rollingPortfolioFrontier Rolling Portfolio
rollingTangencyPortfolio Rolling Portfolio
rollingWindows Rolling Portfolio

-- S --

show,fPFOLIODATA-method Portfolio Data Handling
show,fPFOLIOSPEC-method Specification of Portfolios
show,fPORTFOLIO-method Portfolio Class
show.fPFOLIODATA Portfolio Data Handling
show.fPFOLIOSPEC Specification of Portfolios
show.fPORTFOLIO Portfolio Class
smallcap.ts fPortfolio Data Sets
solveRDonlp2 Portfolio Solver
solveRlpSolve Portfolio Solver
solveRQuadprog Portfolio Solver
summary.fPORTFOLIO Portfolio Class
SWXLP fPortfolio Data Sets

-- T --

tailRiskBudgetsPie Portfolio Plots
tailRiskBudgetsPlot Portfolio Plots
tangencyPortfolio Portfolio Class

-- V --

vanIndices fPortfolio Data Sets
VaRModelling Value-at-Risk Measures for Portfolios

-- W --

weightsPie Portfolio Plots
weightsPlot Portfolio Plots
weightsSlider Portfolio Slider