# Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

## Documentation for package ‘PortfolioAnalytics’ version 1.0.3636

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.

## Help Pages

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

## -- A --

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

## -- B --

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.

## -- C --

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

## -- D --

diversification | Function to compute diversification as a constraint
diversification_constraint | constructor for diversification_constraint

## -- E --

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'

## -- F --

factor_exposure_constraint | Constructor for factor exposure constraint
fn_map | mapping function to transform or penalize weights that violate constraints

## -- G --

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

## -- H --

HHI | Concentration of weights

## -- I --

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

## -- L --

leverage_exposure_constraint | constructor for leverage_exposure_constraint

## -- M --

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

## -- N --

name.replace | utility function to replace awkward named from unlist

## -- O --

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

## -- P --

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

## -- Q --

quadratic_utility_objective | constructor for quadratic utility objective

## -- R --

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

## -- S --

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

## -- T --

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

## -- U --

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

## -- V --

var.portfolio | Calculate portfolio variance

## -- W --

weight_concentration_objective | Constructor for weight concentration objective
weight_sum_constraint | constructor for weight_sum_constraint