fPortfolio-package        package:fPortfolio        R Documentation

_P_o_r_t_f_o_l_i_o _M_o_d_e_l_l_i_n_g, _O_p_t_i_m_i_z_a_t_i_o_n _a_n_d _B_a_c_k_t_e_s_t_i_n_g

_D_e_s_c_r_i_p_t_i_o_n:

     The Rmetrics "fPortfolio" package is a very powerful collection of
     functions to optimize portfolios and to analyze them from
     different points ov view.

     The implemented portfolio models include the traditional 
     mean-variance Markowitz portfolio, robust variants of the
     Markowitz portfoio, and the mean-CVaR conditional  value-at-Risk
     portfolio.

     Optimization is possible by minimizing the risk if the return is
     specified.

     Linear box/group constraints can be specified.

     Depending on the model of the portfolio and the constraints a QP
     (quadratic programming) and a LP (linear programming)  solver are
     provided for optimization

     Several kinds of charts can be produced using graphics  tools to
     visualize the results.

_D_e_t_a_i_l_s:


       Package:    fPortfolio
       Type:       Package
       Date:       2009
       License:    GPL Version 2 or later
       Copyright:  (c) 1999-2008 Diethelm Wuertz and Rmetrics Association
       URL:        <URL: http://www.rmetrics.org>

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

