Portfolio {fPortfolio}R Documentation

Portfolio Modelling, Optimization and Benchmarking

Description

A collection and description of functions for portfolio modelling, pptimization and benchmarking.

Details

Assets Modelling:

Functions for the analysis, simulation and parameter estimation of financial assets.

Portfolio Optimization: Functions for the optimization of portfolios including the mean-variance Markowitz approach, "MV", the lower partial moment portfolio approach "PM", and the conditional value-at-risk approach "CVaR".

Benchmarkung: Functions for the scenario analysis, portfolio performance measures, and benchmarking.


[Package fPortfolio version 260.72 Index]