# Rmetrics - Portfolio Selection and Optimization

## Documentation for package ‘fPortfolio’ version 3011.81

- DESCRIPTION file.

## Help Pages

A B C D E F G I K L M N P Q R S T V W

## -- A --

addRainbow | Monitoring Stability
amplDataAdd | AMPL Interface
amplDataAddMatrix | AMPL Interface
amplDataAddValue | AMPL Interface
amplDataAddVector | AMPL Interface
amplDataOpen | AMPL Interface
amplDataSemicolon | AMPL Interface
amplDataShow | AMPL Interface
amplLP | Mathematical Linear Programming
amplLPControl | Mathematical Linear Programming
amplModelAdd | AMPL Interface
amplModelOpen | AMPL Interface
amplModelShow | AMPL Interface
amplNLP | Mathematical Non-Linear Programming
amplNLPControl | Mathematical Non-Linear Programming
amplOutShow | AMPL Interface
amplQP | Mathematical Linear Programming
amplQPControl | Mathematical Linear Programming
amplRunAdd | AMPL Interface
amplRunOpen | AMPL Interface
amplRunShow | AMPL Interface

## -- B --

backtestAssetsPlot | Portfolio backtesting plots
backtestDrawdownPlot | Portfolio backtesting plots
backtestPlot | Portfolio backtesting plots
backtestPortfolioPlot | Portfolio backtesting plots
backtestRebalancePlot | Portfolio backtesting plots
backtestReportPlot | Portfolio backtesting plots
backtestStats | Rolling portfolio backtesting statistics
backtestWeightsPlot | Portfolio backtesting plots
bcpAnalytics | Monitoring Stability
bestDiversification | Surface Risk Analytics
budgetsModifiedES | Risk Budgeting
budgetsModifiedVAR | Risk Budgeting
budgetsNormalES | Risk Budgeting
budgetsNormalVAR | Risk Budgeting
budgetsSampleCOV | Risk Budgeting

## -- C --

class-fPFOLIOBACKTEST | Portfolio backtesting specifications
class-fPFOLIOCON | Portfolio Constraints Handling
class-fPFOLIODATA | Portfolio Data Handling
class-fPFOLIOSPEC | Specification of Portfolios
class-fPFOLIOVAL | Values of Portfolio Frontiers
class-fPORTFOLIO | Portfolio Class
cmlLines | Efficient Frontier Plot
cmlPoints | Efficient Frontier Plot
covEstimator | Covariance Estimators
covMcdEstimator | Covariance Estimators
covOGKEstimator | Covariance Estimators
covRisk | portfolioRisk
covRiskBudgetsLinePlot | Portfolio Weights Line Plots
covRiskBudgetsPie | Portfolio Pie Plots
covRiskBudgetsPlot | Portfolio Weights Bar Plots
cvarRisk | portfolioRisk

## -- D --

Data | Nonlinear Objective Presettings
dataSets | Assets Data Sets
donlp2NLP | Mathematical Non-Linear Programming
donlp2NLPControl | Mathematical Non-Linear Programming
drawdownsAnalytics | Monitoring Stability

## -- E --

ECON85 | Assets Data Sets
ECON85LONG | Assets Data Sets
efficientPortfolio | Efficient Portfolios
emaSmoother | User defined functions to perform portfolio backtesting
eqsumWConstraints | Portfolio Constraints
equalWeightsPoints | Efficient Frontier Plot
equidistWindows | User defined functions to perform portfolio backtesting

## -- F --

feasibleGrid | Surface Risk Analytics
feasiblePortfolio | Feasible Portfolios
fPFOLIOBACKTEST | Portfolio backtesting specifications
fPFOLIOBACKTEST-class | Portfolio backtesting specifications
fPFOLIOCON | Portfolio Constraints Handling
fPFOLIOCON-class | Portfolio Constraints Handling
fPFOLIODATA | Portfolio Data Handling
fPFOLIODATA-class | Portfolio Data Handling
fPFOLIOSPEC | Specification of Portfolios
fPFOLIOSPEC-class | Specification of Portfolios
fPFOLIOVAL | Values of Portfolio Frontiers
fPFOLIOVAL-class | Values of Portfolio Frontiers
fPORTFOLIO | Portfolio Class
fPortfolio | Portfolio Design, Optimization and Backtesting
fPORTFOLIO-class | Portfolio Class
frontierPlot | Efficient Frontier Plot
frontierPlotControl | Frontier Plot Control List
frontierPoints | Get Frontier Points

## -- G --

garchAnalytics | Monitoring Stability
GCCINDEX | Assets Data Sets
GCCINDEX.DF | Assets Data Sets
GCCINDEX.RET | Assets Data Sets
getA | Portfolio Specification Extractor Functions
getA.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getA.fPORTFOLIO | Portfolio Class Extractors
getAlpha | Extractor Functions
getAlpha.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getAlpha.fPFOLIOVAL | PortfolioVal Extractor Functions
getAlpha.fPORTFOLIO | Portfolio Class Extractors
getConstraints | Extractor Functions
getConstraints.fPORTFOLIO | Portfolio Class Extractors
getConstraintsTypes | Portfolio Class Extractors
getControl | Extractor Functions
getControl.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getControl.fPORTFOLIO | Portfolio Class Extractors
getCov | Extractor Functions
getCov.fPFOLIODATA | Portfolio Data Extractor Functions
getCov.fPORTFOLIO | Portfolio Class Extractors
getCovRiskBudgets | Extractor Functions
getCovRiskBudgets.fPFOLIOVAL | PortfolioVal Extractor Functions
getCovRiskBudgets.fPORTFOLIO | Portfolio Class Extractors
getData | Extractor Functions
getData.fPFOLIODATA | Portfolio Data Extractor Functions
getData.fPORTFOLIO | Portfolio Class Extractors
getDefault | Extractor Functions
getEstimator | Extractor Functions
getEstimator.fPFOLIODATA | Portfolio Data Extractor Functions
getEstimator.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getEstimator.fPORTFOLIO | Portfolio Class Extractors
getMean | Extractor Functions
getMean.fPFOLIODATA | Portfolio Data Extractor Functions
getMean.fPORTFOLIO | Portfolio Class Extractors
getMessages | Portfolio Specification Extractor Functions
getMessages.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getMessages.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getModel | Extractor Functions
getModel.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getModel.fPORTFOLIO | Portfolio Class Extractors
getMu | Extractor Functions
getMu.fPFOLIODATA | Portfolio Data Extractor Functions
getMu.fPORTFOLIO | Portfolio Class Extractors
getNAssets | Extractor Functions
getNAssets.fPFOLIODATA | Portfolio Data Extractor Functions
getNAssets.fPORTFOLIO | Portfolio Class Extractors
getNFrontierPoints | Extractor Functions
getNFrontierPoints.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getNFrontierPoints.fPFOLIOVAL | PortfolioVal Extractor Functions
getNFrontierPoints.fPORTFOLIO | Portfolio Class Extractors
getObjective | Extractor Functions
getObjective.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getObjective.fPORTFOLIO | Portfolio Class Extractors
getOptim | Extractor Functions
getOptim.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getOptim.fPORTFOLIO | Portfolio Class Extractors
getOptimize | Extractor Functions
getOptimize.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getOptimize.fPORTFOLIO | Portfolio Class Extractors
getOptions | Extractor Functions
getOptions.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getOptions.fPORTFOLIO | Portfolio Class Extractors
getParams | Extractor Functions
getParams.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getParams.fPORTFOLIO | Portfolio Class Extractors
getPortfolio | Extractor Functions
getPortfolio.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getPortfolio.fPFOLIOVAL | PortfolioVal Extractor Functions
getPortfolio.fPORTFOLIO | Portfolio Class Extractors
getRiskFreeRate | Extractor Functions
getRiskFreeRate.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getRiskFreeRate.fPFOLIOVAL | PortfolioVal Extractor Functions
getRiskFreeRate.fPORTFOLIO | Portfolio Class Extractors
getSeries | Extractor Functions
getSeries.fPFOLIODATA | Portfolio Data Extractor Functions
getSeries.fPORTFOLIO | Portfolio Class Extractors
getSigma | Extractor Functions
getSigma.fPFOLIODATA | Portfolio Data Extractor Functions
getSigma.fPORTFOLIO | Portfolio Class Extractors
getSmoother | Portfolio Backtest Extractors
getSmoother.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherDoubleSmoothing | Portfolio Backtest Extractors
getSmootherDoubleSmoothing.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherFun | Portfolio Backtest Extractors
getSmootherFun.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherInitialWeights | Portfolio Backtest Extractors
getSmootherInitialWeights.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherLambda | Portfolio Backtest Extractors
getSmootherLambda.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherParams | Portfolio Backtest Extractors
getSmootherParams.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSmootherSkip | Portfolio Backtest Extractors
getSmootherSkip.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getSolver | Extractor Functions
getSolver.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getSolver.fPORTFOLIO | Portfolio Class Extractors
getSpec | Extractor Functions
getSpec.fPORTFOLIO | Portfolio Class Extractors
getStatistics | Extractor Functions
getStatistics.fPFOLIODATA | Portfolio Data Extractor Functions
getStatistics.fPORTFOLIO | Portfolio Class Extractors
getStatus | Extractor Functions
getStatus.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getStatus.fPFOLIOVAL | PortfolioVal Extractor Functions
getStatus.fPORTFOLIO | Portfolio Class Extractors
getStrategy | Portfolio Backtest Extractors
getStrategy.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getStrategyFun | Portfolio Backtest Extractors
getStrategyFun.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getStrategyParams | Portfolio Backtest Extractors
getStrategyParams.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getTailRisk | Extractor Functions
getTailRisk.fPFOLIODATA | Portfolio Data Extractor Functions
getTailRisk.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getTailRisk.fPORTFOLIO | Portfolio Class Extractors
getTailRiskBudgets | Extractor Functions
getTailRiskBudgets.fPORTFOLIO | Portfolio Class Extractors
getTargetReturn | Extractor Functions
getTargetReturn.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getTargetReturn.fPFOLIOVAL | PortfolioVal Extractor Functions
getTargetReturn.fPORTFOLIO | Portfolio Class Extractors
getTargetRisk | Extractor Functions
getTargetRisk.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getTargetRisk.fPFOLIOVAL | PortfolioVal Extractor Functions
getTargetRisk.fPORTFOLIO | Portfolio Class Extractors
getTrace | Extractor Functions
getTrace.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getTrace.fPORTFOLIO | Portfolio Class Extractors
getType | Extractor Functions
getType.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getType.fPORTFOLIO | Portfolio Class Extractors
getUnits | Extractor Functions
getUnits.fPFOLIODATA | Portfolio Data Extractor Functions
getUnits.fPORTFOLIO | Portfolio Class Extractors
getWeights | Extractor Functions
getWeights.fPFOLIOSPEC | Portfolio Specification Extractor Functions
getWeights.fPFOLIOVAL | PortfolioVal Extractor Functions
getWeights.fPORTFOLIO | Portfolio Class Extractors
getWindows | Portfolio Backtest Extractors
getWindows.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getWindowsFun | Portfolio Backtest Extractors
getWindowsFun.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getWindowsHorizon | Portfolio Backtest Extractors
getWindowsHorizon.fPFOLIOBACKTEST | Portfolio backtest specification extractors
getWindowsParams | Portfolio Backtest Extractors
getWindowsParams.fPFOLIOBACKTEST | Portfolio backtest specification extractors
glpkLP | Mathematical Linear Programming
glpkLPControl | Mathematical Linear Programming

## -- I --

ipopQP | Mathematical Linear Programming
ipopQPControl | Mathematical Linear Programming

## -- K --

kendallEstimator | Covariance Estimators
kestrelQP | Mathematical Linear Programming
kestrelQPControl | Mathematical Linear Programming

## -- L --

lambdaCVaR | Risk and Related Measures for Portfolios
listFConstraints | Portfolio Constraints
lpmEstimator | Covariance Estimators
LPP2005 | Assets Data Sets
LPP2005.RET | Assets Data Sets
LPP2005.RET.DF | Assets Data Sets

## -- M --

markowitzHull | Surface Risk Analytics
maxBConstraints | Portfolio Constraints
maxBuyinConstraints | Portfolio Constraints
maxCardConstraints | Portfolio Constraints
maxddMap | Creates and Plots a Ternary Map
maxFConstraints | Portfolio Constraints
maxratioPortfolio | Efficient Portfolios
maxreturnPortfolio | Efficient Portfolios
maxsumWConstraints | Portfolio Constraints
maxWConstraints | Portfolio Constraints
mcdEstimator | Covariance Estimators
minBConstraints | Portfolio Constraints
minBuyinConstraints | Portfolio Constraints
minCardConstraints | Portfolio Constraints
minFConstraints | Portfolio Constraints
minriskPortfolio | Efficient Portfolios
minsumWConstraints | Portfolio Constraints
minvariancePoints | Efficient Frontier Plot
minvariancePortfolio | Efficient Portfolios
minWConstraints | Portfolio Constraints
modifiedVaR | Risk Budgeting
monteCarloPoints | Efficient Frontier Plot
mveEstimator | Covariance Estimators

## -- N --

nCardConstraints | Portfolio Constraints
neosLP | Mathematical Linear Programming
neosLPControl | Mathematical Linear Programming
neosQP | Mathematical Linear Programming
neosQPControl | Mathematical Linear Programming
netPerformance | Portfolio backtesting net performance
nlminb2NLP | Mathematical Non-Linear Programming
nlminb2NLPControl | Mathematical Non-Linear Programming
nnveEstimator | Covariance Estimators
normalVaR | Risk Budgeting

## -- P --

parAnalytics | Monitoring Stability
pcoutAnalytics | Monitoring Stability
pfolioCVaR | Risk and Related Measures for Portfolios
pfolioCVaRplus | Risk and Related Measures for Portfolios
pfolioHist | Risk and Related Measures for Portfolios
pfolioMaxLoss | Risk and Related Measures for Portfolios
pfolioReturn | Risk and Related Measures for Portfolios
pfolioRisk | portfolioRisk
pfolioSigma | Risk and Related Measures for Portfolios
pfolioTargetReturn | Risk and Related Measures for Portfolios
pfolioTargetRisk | Risk and Related Measures for Portfolios
pfolioVaR | Risk and Related Measures for Portfolios
plot-methods | plot-methods
plot.fPORTFOLIO | Portfolio Class
portfolioBacktest | Specification of portfolio backtesting
portfolioBacktesting | Portfolio backtesting
portfolioConstraints | Portfolio Constraints
portfolioData | Portfolio Data Handling
portfolioData2 | portfolioData2
portfolioFrontier | Efficient Portfolio Frontier
portfolioObjective | Nonlinear Objective Presettings
portfolioReturn | Nonlinear Objective Presettings
portfolioRisk | Nonlinear Objective Presettings
portfolioRolling | Rolling Portfolio
portfolioSmoothing | Portfolio backtesting
portfolioSpec | Specification of Portfolios
print.solver | Print Method for Solvers

## -- Q --

quadprogQP | Mathematical Linear Programming
quadprogQPControl | Mathematical Linear Programming

## -- R --

ramplLP | Mathematical Linear Programming
ramplNLP | Mathematical Non-Linear Programming
ramplQP | Mathematical Linear Programming
rdonlp2 | Mathematical Non-Linear Programming
rdonlp2NLP | Mathematical Non-Linear Programming
rglpkLP | Mathematical Linear Programming
ripopQP | Mathematical Linear Programming
riskBudgetsPlot | Portfolio Weights Bar Plots
riskMap | Creates and Plots a Ternary Map
riskmetricsAnalytics | Monitoring Stability
riskPfolio | Risk and Related Measures for Portfolios
riskSurface | Surface Risk Analytics
rkestrelQP | Mathematical Linear Programming
rneosLP | Mathematical Linear Programming
rneosQP | Mathematical Linear Programming
rnlminb2 | Mathematical Non-Linear Programming
rnlminb2NLP | Mathematical Non-Linear Programming
rollingCDaR | Rolling portfolio backtesting statistics
rollingCmlPortfolio | Rolling Portfolio
rollingCVaR | Rolling portfolio backtesting statistics
rollingDaR | Rolling portfolio backtesting statistics
rollingMinvariancePortfolio | Rolling Portfolio
rollingPortfolio | Rolling Portfolio
rollingPortfolioFrontier | Rolling Portfolio
rollingRiskBudgets | Rolling portfolio backtesting statistics
rollingSigma | Rolling portfolio backtesting statistics
rollingTangencyPortfolio | Rolling Portfolio
rollingVaR | Rolling portfolio backtesting statistics
rollingWindows | Rolling Portfolio
rquadprog | Mathematical Linear Programming
rquadprogQP | Mathematical Linear Programming
rsolnp | Mathematical Non-Linear Programming
rsolnpNLP | Mathematical Non-Linear Programming
rsolveLP | Mathematical Linear Programming
rsolveQP | Mathematical Linear Programming
rsymphonyLP | Mathematical Linear Programming

## -- S --

sampleCOV | Risk Budgeting
sampleVaR | Risk Budgeting
setAlpha<- | Settings for Specifications of Portfolios
setBacktest | Specification of backtesting portfolios
setEstimator<- | Settings for Specifications of Portfolios
setNFrontierPoints<- | Settings for Specifications of Portfolios
setObjective<- | Settings for Specifications of Portfolios
setOptimize<- | Settings for Specifications of Portfolios
setParams<- | Settings for Specifications of Portfolios
setRiskFreeRate<- | Settings for Specifications of Portfolios
setSmootherDoubleSmoothing<- | Specification of backtesting portfolios
setSmootherFun<- | Specification of backtesting portfolios
setSmootherInitialWeights<- | Specification of backtesting portfolios
setSmootherLambda<- | Specification of backtesting portfolios
setSmootherParams<- | Specification of backtesting portfolios
setSmootherSkip<- | Specification of backtesting portfolios
setSolver<- | Settings for Specifications of Portfolios
setSpec | Settings for Specifications of Portfolios
setStatus<- | Settings for Specifications of Portfolios
setStrategyFun<- | Specification of backtesting portfolios
setStrategyParams<- | Specification of backtesting portfolios
setTailRisk<- | Settings for Specifications of Portfolios
setTargetReturn<- | Settings for Specifications of Portfolios
setTargetRisk<- | Settings for Specifications of Portfolios
setTrace<- | Settings for Specifications of Portfolios
setType<- | Settings for Specifications of Portfolios
setWeights<- | Settings for Specifications of Portfolios
setWindowsFun<- | Specification of backtesting portfolios
setWindowsHorizon<- | Specification of backtesting portfolios
setWindowsParams<- | Specification of backtesting portfolios
sharpeRatioLines | Efficient Frontier Plot
show-method | Portfolio backtesting specifications
show-method | Portfolio Constraints Handling
show-method | Portfolio Data Handling
show-method | Specification of Portfolios
show-method | Values of Portfolio Frontiers
show-method | Portfolio Print Methods
show-methods | Portfolio Print Methods
shrinkEstimator | Covariance Estimators
singleAssetPoints | Efficient Frontier Plot
slpmEstimator | Covariance Estimators
SMALLCAP | Assets Data Sets
SMALLCAP.RET | Assets Data Sets
SMALLCAP.RET.DF | Assets Data Sets
solnpNLP | Mathematical Non-Linear Programming
solnpNLPControl | Mathematical Non-Linear Programming
solveRampl.CVAR | LP, QP, and NLP Programming Solvers
solveRampl.MV | LP, QP, and NLP Programming Solvers
solveRdonlp2 | LP, QP, and NLP Programming Solvers
solveRglpk.CVAR | LP, QP, and NLP Programming Solvers
solveRglpk.MAD | LP, QP, and NLP Programming Solvers
solveRipop | LP, QP, and NLP Programming Solvers
solveRquadprog | LP, QP, and NLP Programming Solvers
solveRquadprog.CLA | LP, QP, and NLP Programming Solvers
solveRshortExact | LP, QP, and NLP Programming Solvers
solveRsocp | LP, QP, and NLP Programming Solvers
solveRsolnp | LP, QP, and NLP Programming Solvers
spearmanEstimator | Covariance Estimators
SPISECTOR | Assets Data Sets
SPISECTOR.DF | Assets Data Sets
SPISECTOR.RET | Assets Data Sets
stabilityAnalytics | Monitoring Stability
summary-methods | summary-methods
summary.fPORTFOLIO | Portfolio Class
surfacePlot | Surface Risk Analytics
SWX | Assets Data Sets
SWX.DF | Assets Data Sets
SWX.RET | Assets Data Sets
symphonyLP | Mathematical Linear Programming
symphonyLPControl | Mathematical Linear Programming

## -- T --

tailoredFrontierPlot | Efficient Frontier Plot
tailRiskBudgetsPie | Portfolio Pie Plots
tailRiskBudgetsPlot | Portfolio Weights Bar Plots
tangencyLines | Efficient Frontier Plot
tangencyPoints | Efficient Frontier Plot
tangencyPortfolio | Efficient Portfolios
tangencyStrategy | User defined functions to perform portfolio backtesting
ternaryCoord | Creates and Plots a Ternary Map
ternaryFrontier | Creates and Plots a Ternary Map
ternaryMap | Creates and Plots a Ternary Map
ternaryPoints | Creates and Plots a Ternary Map
ternaryWeights | Creates and Plots a Ternary Map
turnsAnalytics | Monitoring Stability
twoAssetsLines | Efficient Frontier Plot

## -- V --

varRisk | portfolioRisk

## -- W --

waveletSpectrum | Monitoring Stability
weightedReturnsLinePlot | Portfolio Weights Line Plots
weightedReturnsPie | Portfolio Pie Plots
weightedReturnsPlot | Portfolio Weights Bar Plots
weightsLinePlot | Portfolio Weights Line Plots
weightsPie | Portfolio Pie Plots
weightsPlot | Portfolio Weights Bar Plots
weightsSlider | Portfolio Weights Slider