PACKAGE: fPortfolio The functions listed in this reference card are available from the CRAN server, its development version can be downloaded from the r-forge Server. REFERENCE CARD: assets-arrange.R assetsArrange Rearranges the columns in a data set of assets statsArrange Returns statistically reordered column names pcaArrange Returns PCA correlation ordered column names hclustArrage Returns hierarchical clustered column names abcArrage Returns alphabetically sorted column names orderArrange Returns permuted column names sampleArrage Returns randomly sampled column names assets-dist.R assetsDist Computes the distances between assets corDist Returns correlation distance measure kendallDist Returns kendalls correlation distance measure spearmanDist Returns spearmans correlation distance measure mutinfoDist Returns mutual information distance measure euclideanDist Returns Euclidean distance measure maximumDist Returns maximum distance measure manhattanDist Returns Manhattan distance measure canberraDist Returns Canberra distance measure binaryDist Returns binary distance measure minkowskiDist Returns Minkowsky distance measure braycurtisDist Returns Bray Curtis distance measure mahalanobisDist Returns Mahalanobis distance measure jaccardDist Returns Jaccard distance mesaure differenceDist Returns difference distance measure sorensenDist Returns Sorensen distance measure assets-fit.R assetsFit Fits the parameters of a set of assets mvnormFit Fits a multivariate Normal distribution mvsnormFit Fits a multivariate skew-Normal distribution mvstFit Fits a multivariate skew-Student-t distribution assets-lpm.R assetsLPM Computes asymmetric lower partial moments assetsSLPM Computes symmetric lower partial moments assets-meancov.R assetsMeanCov Estimates mean and variance for a set of assets .covMeanCov uses sample covariance estimation .mveMeanCov uses "cov.mve" from [MASS] .mcdMeanCov uses "cov.mcd" from [MASS] .studentMeanCov uses "cov.trob" from [MASS] .MCDMeanCov uses "covMcd" from [robustbase] .OGKMeanCov uses "covOGK" from [robustbase] .nnveMeanCov uses builtin from [covRobust] .shrinkMeanCov uses builtin from [corpcor] .baggedMeanCov uses builtin from [corpcor] .arwMeanCov uses builtin from [mvoutlier] .donostahMeanCov uses builtin from [robust] .bayesSteinMeanCov uses code borrowed from Alexios Ghalanos .ledoitWolfMeanCov uses builtin from [tawny] .rmtMeanCov uses builtin from [tawny] getCenterRob Extracts the robust estimate for the center getCovRob Extracts the robust estimate for the covariance assets-outliers.R assetsOutliers Detects outliers in multivariate assets sets assets-portfolio.R pfolioVaR Computes VaR for a portfolio of assets pfolioCVaR Computes CVaR for a portfoluio of assets pfolioCVaRplus Computes CVaR-Plus for a portfolio of assets lambdaCVaR Computes CVaR's atomic split value lambda pfolioMaxLoss Computes maximum loss for a portfolio pfolioReturn Computes return series for a portfolio pfolioTargetReturn Computes target return for a portfolio pfolioTargetRisk Computes target risk for a portfolio pfolioHist Plots a histogram of portfolio returns assets-resolution.R [should go to 'timeSeries' package?] asMonthly Converts a timeSeries into an end-of-month series asAnnual Converts a timeSeries into an end-of-year series asDecades Converts a timeSeries into an end-of-decade series assets-select.R assetsSelect Selects similar or dissimilar assets hclustSelect Selects assets due to hierarchical clustering kmeansSelect Selects assets due to k-means clustering assets-simulate.R assetsSim Simulates a set of artificial assets assets-test.R assetsTest Tests for multivariate Normal Assets mvshapiroTest Multivariate Shapiro Test mvenergyTest Multivariate E-Statistic (Energy) Test ----------------------------------------------------------------------------------------- backtest-defaultFunctions.R equidistWindows Defines default equal distant rolling windows tangencyStrategy Defines default tangency strategy portfolio emaSmoother Defines default EMA weights smoother backtest-getBacktestSpec.R getWindows Extracts windows slot getWindowsFun Extracts name of windows function getWindowsParams Extracts a list of windows specific parameters getWindowsHorizon Extracts windows horizon getStrategy Extracts strategy slot getStrategyFun Extracts the name of portfolio strategy function getStrategyParams Extracts a list of strategy specific parameters getSmoother Extracts the smoother slot getSmootherFun Extracts the name of the moother function getSmootherParams Extracts a list of smoothing specific parameters getSmootherLambda Extracts the smoothing parameter Lambda getSmootherDoubleSmoothing Extracts setting for double smoothing getSmootherInitialWeights Extracts the initial weights in the smoothing getSmootherSkip Extracts the number of skipped months getMessages Extracts the message slot backtest-getMethods.R getWindows Extracts windows information getWindowsFun Extracts windows function getWindowsParams Extracts windows function parameters getWindowsHorizon Extracts windows Horizon getStrategy Extracts strategy information getStrategyFun Extracts strategy function getStrategyParams Extracts strategy function parameters getSmoother Extracts smoother information getSmootherFun Extracts smoother function getSmootherParams Extracts smoother function parameters getSmootherLambda Extracts decay parameter getSmootherDoubleSmoothing Extracts double smoothing flag getSmootherInitialWeights Extracts initial weights getSmootherSkip Extracs skip smoothing flag getMessages Extracts messages backtest-methodsShow.R show.fPFOLIOBACKTEST Print method for 'fPFOLIOBACKTEST' objects backtest-netPerformance.R netPerformance Returns performance from a portfolio backtest .netPerformanceYTD Returns year-to-date performance .netPerformanceCalendar Returns calendar performance .netPerformancePlot Creates a net performance plot backtest-pfolioBacktest.R portfolioBacktesting Performs a portfolio backtesting portfolioSmoothing Smoothes the weights of a portfolio backtesting backtest-pfolioBacktestSpec.R portfolioBacktest Returns an object of class 'fPFOLIOBACKTEST' backtest-plots.R backtestPlot Creates a summary of backtesting plots backtestAssetsPlot Plots assets used in a portfolio backtest backtestWeightsPlot Plots recommended weights from a backtest backtestRebalancePlot Plots rebalanced weights of a backtest backtestPortfolioPlot Plots benchmark and portfolio series backtestDrawdownPlot Plots the drawdown of the portfolio backtest backtestReportPlot Prints backtest report backtest-rollingStats.R backtestStats Wrapper function for calculating rolling statistics rollingSigma Rolling portfolio Sigma risk rollingVaR Rolling Value at Risk rollingCVaR Rolling Conditional Value at Risk rollingDar Rolling Drawdowns at Risk rollingCDaR Rolling Conditional Drawdowns at Risk backtest-setBacktestSpec.R setWindowsFun<- Sets name of rolling windows function setWindowsParams<- Sets additional parameters to windows function setWindowsHorizon<- Sets horizon of the rolling window setStrategyFun<- Sets name of portfolio strategy function setStrategyParams<- Sets additional parameters to strategy function setSmootherFun<- Sets name of weights smoothing function setSmootherParams<- Sets additional parameters to smoother function setSmootherLambda<- Sets lambda for EMA smoothing setSmootherDoubleSmoothing<- Sets double ema setting, logical setSmootherInitialWeights<- Sets initial weights of the portfolio setSmootherSkip<- Sets number of months to skip starting ----------------------------------------------------------------------------------------- builtin-*.R builtin-arwMvoutlier builtin-baggedCorpcor builtin-BayesStein builtin-corrgram builtin-distEcodist builtin-donostahRobust builtin-mstApe builtin-nnveCovRobust builtin-ogkRrcov builtin-rmtTawney builtin-shrinkCorpcor builtin-shrinkTawney builtin-solveRdeoptim builtin-testEnergy ----------------------------------------------------------------------------------------- frontier-getPoints.R frontierPoints Extracts frontier points frontier-portfolioPlots.R frontierPlot Plots efficient frontier minvariancePoints Adds minimum variance point cmlPoints Adds market portfolio cmlLines Adds capital market Line tangencyPoints Adds tangency portfolio point tangencyLines Adds tangency line equalWeightsPoints Adds point of equal weights portfolio singleAssetPoints Adds points of single asset portfolios twoAssetsLines Adds EF for all combinations of two assets sharpeRatioLines Adds Sharpe ratio line monteCarloPoints Adds randomly produced feasible portfolios frontierPlotControl Sets frontier plot control parameters tailoredFrontierPlot Tailored frontier plot wit addons frontier-weightPlots.R .weightsWheel Adds a pie of weights to frontier plot .attributesWheel Adds a pie of attributes to frontier plot .notStackedWeightsPlot Plots the not stacked weights of potfolio .addlegend Adds legend to sliders ----------------------------------------------------------------------------------------- mathprogLP.R rsolveLP General Interface for LP solvers .solveLP.MAD.demo Demonstation Example .solveLP.GLPK.demo Demonstation Example mathprogLP-ampl.R ramplLP Rmetrics Interface for AMPL LP solvers amplLP Convenience wrapper for AMPL LP solvers amplLPControl AMPL LP control parameter list mathprogLP-glpk.R rglpkLP Rmetrics Interface for Rglpk LP solver glpkLP Convenience wrapper for Rglpk LP solver glpkLPControl Rglpk LP control parameter list mathprogLP-neos.R rneoslLP Rmetrics Interface for AMPL/NEOS LP solvers neoslLP Convenience wrapper for AMPL/NEOS LP solvers neoslLPControl AMPL/NEOS LP control parameter list mathprogLP-symphony.R rsymphonyLP Rmetrics Interface for SYMPHONY LP solvers symphonyLP Convenience wrapper for SYMPHONY LP solvers symphonyLPControl SYMPHONY LP control parameter list ----------------------------------------------------------------------------------------- mathprogNLP.R .solveNLP.demo Mean-variance portfolio demo example mathprogNLP-ampl.R ramplNLP Rmetrics Interface for AMPL LP solvers amplNLP Convenience wrapper for AMPL LP solvers amplControl AMPL LP control parameter list mathprogNLP-nlminb2.R rnlminb2NLP Rmetrics Interface for NLMINB2 LP solvers nlminb2NLP Convenience wrapper for NLMINB2 LP solvers nlminb2Control NLMINB2 LP control parameter list rnlminb2 Synonyme name for Rnlminb2::nlminb2 function mathprogNLP-solnp.R rsolnpNLP Rmetrics Interface for SOLNP LP solvers solnpNLP Convenience wrapper for SOLNP LP solvers solnpNLPControl SOLNP LP control parameter list rsolnp Synonyme name for Rsolnp::solnp function ----------------------------------------------------------------------------------------- mathprogQP.R rsolveQP General Interface for QP solvers .solveQP.MV.demo Mean-Variance portfolio demo example mathprogQP-ampl.R ramplQP Rmetrics Interface for AMPL QP solvers amplQP Convenience wrapper for AMPL QP solvers amplQPControl AMPL QP control parameter list mathprogQP-ipop.R ripopQP Rmetrics Interface for LOQO QP solver ipopQP Convenience wrapper for LOQO QP solver ipopQPControl LOQO QP control parameter list ripop Synonyme name for kernlab::ipop function mathprogQP-kestrel.R rkestrelQP Rmetrics Interface for AMPL/KESTREL QP solvers kestrelQP Convenience wrapper for AMPL/KESTREL QP solvers kestrelQPControl KESTREL QP control parameter list mathprogQP-neos.R rneosQP Rmetrics Interface for AMPL/NEOS QP solvers neosQP Convenience wrapper for AMPL/NEOS QP solvers neosQPControl NEOS QP control parameter list mathprogQP-quadprog.R rquadprogQP Rmetrics Interface for QUADPROG QP solvers quadprogQP Convenience wrapper for QUADPROG QP solvers quadprogQPControl QUADPROG QP control parameter list rquadprog Synonyme name for quadprog::solveLP function ---------------------------------------------------------------------------------------- methods-mathprog.R print.solver Solver method methods-plot.R plot.fPORTFOLIO S3 Plot method for 'fPORTFOLIO' objects .fPortfolio.plot1..8 Internal plot functions methods-show.R show.fPORTFOLIO S4 Print method for 'fPPORTFOLIO' objects show.fPFOLIODATA S4 Print method for 'fPFOLIODATA' objects show.fPFOLIOSPEC S4 Print method for 'fPFOLIOSPEC' objects show.fPFOLIOCON S4 Print method for 'fPFOLIOCON' objects methods-summary.R summary.fPORTFOLIO S3 Summary method for 'fPORTFOLIO' objects ----------------------------------------------------------------------------------------- object-getData.R getData Extracts data slot getSeries Extracts assets series data getNAssets Extracts number of assets from data getNames Extracts assets names from data getStatistics Extracts statistics slot getMean Extracs mean from statistics getCov Extracs covariance Sigma from statistics getMu Extracs mu from statistics getSigma Extracs Sigma from statistics getEstimator Extracts estimator from statistics getTailRisk Extracts tailRisk slot object-getPortfolio.R getData Extracts data slot getSeries Extracts assets series data getNAssets Extracts number of assets from data getNames Extracts assets names from data getStatistics Extracts statistics slot getMean Extracs 'mean' from statistics getCov Extracs covariance 'Sigma' from statistics getMu Extracs mu from statistics getSigma Extracs Sigma from statistics getEstimator Extracts estimator from getTailRisk Extracts 'tailRisk' slot getSpec Extracs specification slot getType Extracts type of portfolio getOptimize Extracts what to optimize of portfolio getEstimator Extracts mean-covariance estimator getParams Extracts optional parameter list getAlpha Extracts target VaR-alpha specification getA Extracts quadratic LPM exponent specification getPortfolio Extract portfolio slot getWeights Extracts weights from a portfolio object getTargetReturn Extracts target return from specification getTargetRisk Extracts target riks from specification getRiskFreeRate Extracts risk free rate from specification getNFrontierPoints Extracts number of frontier points getStatus Extracts portfolio status information getOptim Extract optim slot getSolver Extracts solver from specification getObjective Extracts objective getOptions Extracts optimization options getControl Extracts solver control options getTrace Extracts solver's trace flag getConstraints Extracts weight constraints getCovRiskBudgets Extracts covariance risk budgets getTailRiskBudgets Extracts tail risk budgets object-getPortfolioVal.R getPortfolio Extracts portfolio from value object getWeights Extracts weights from value object getCovRiskBudgets Extracts covarisnce risk budgets value getTargetReturn Extracts target return from value object getTargetRisk Extracts target risk from value object getAlpha Extracts CVaR alpha from value object getRiskFreeRate Extracts risk free rate from value object getNFrontierPoints Extracts number of frontier points value getStatus Extracts status from value object object-getSpec.R getModel Extract whole model slot getType Extract portfolio type from specification getOptimize Extract what to optimize from specification getEstimator Extract type of covariance estimator getTailRisk Extract list of tail dependency risk matrixes getParams Extract parameters from specification getAlpha Extracts target VaR-alpha specification getA Extracts quadratic LPM Exponent getPortfolio Extract whole portfolio slot getWeights Extracts weights from a portfolio object getTargetReturn Extracts target return from specification getTargetRisk Extracts target riks from specification getRiskFreeRate Extracts risk free rate from specification getNFrontierPoints Extracts number of frontier points getStatus Extracts portfolio status information getOptim Extract whole optim slot getSolver Extracts solver from specification getObjective Extracs name of objective function getOptions Extracs options getControl Extracs control list parameters getTrace Extracts solver's trace flag getMessages Extract whole messages slot object-getUseMethods.R getA Defines Use Method for A getAlpha Defines Use Method for Alpha getConstraints Defines Use Method for Constraints getControl Defines Use Method for Control getCov Defines Use Method for Cov getCovRiskBudgets Defines Use Method for CovRiskBudgets getData Defines Use Method for Data getEstimator Defines Use Method for Estimator getMean Defines Use Method for Mean getMu Defines Use Method for Mu getNAssets Defines Use Method for NAssets getNames Defines Use Method for Names getNFrontierPoints Defines Use Method for NFrontierPoints getMessages Defines Use Method for Messages getObjective Defines Use Method for Objective getOptim Defines Use Method for Optim getOptimize Defines Use Method for Optimize getOptions Defines Use Method for Options getPortfolio Defines Use Method for Portfolio getParams Defines Use Method for Params getRiskFreeRates Defines Use Method for RiskFreeRates getSeries Defines Use Method for Series getSigma Defines Use Method for Sigma getSolver Defines Use Method for Solver getSpec Defines Use Method for Spec getStatistics Defines Use Method for Statistics getStatus Defines Use Method for Status getTailRisk Defines Use Method for TailRisk getTailRiskBudgets Defines Use Method for TailRiskBudgets getTargetReturn Defines Use Method for TargetReturn getTargetRisk Defines Use Method for TargetRisk getTrace Defines Use Method for Trace getType Defines Use Method for Type getWeights Defines Use Method for Weights object-portfolioCons.R portfolioConstraints Returns an object of class fPFOLIOCON minWConstraints Returns vector with min box constraints maxWConstraints Returns vector with max box constraints eqsumWConstraints Returns list with group equal vec/matrix constraints minsumWConstraints Returns list with group min vec/matrix constraints maxsumWConstraints Returns list with group max vec/matrix constraints minBConstraints Returns vector with min cov risk budget constraints maxBConstraints Returns vector with max cov risk budget constraints minFConstraints Returns vector with min nonlin functions constraints maxFConstraints Returns vector with max nonlin functions constraints nCardConstraints Returns number of Cardinalities minCardConstraints Returns lower bound of Cardinalities maxCardConstraints Returns upper bound of Cardinalities object-portfolioData.R portfolioData Returns an object of class fPFOLIODATA object-portfolioSpec.R portfolioSpec Returns an object of class fPFOLIOSPEC .checkWeights Checks and forces tiny weights to zero .checkSpecVsConstraints Checks if spec and constraints do match .checkTargetReturn Checks if target Return is defined object-setSpec.R setType<- Sets type of portfolio optimization setOptimize<- Sets what to optimze, minRisk or maxRetururn setEstimator<- Sets name of mean-covariance estimator setTailRisk<- Sets tail dependency matrix setParams<- Sets optional model parameters setWeights<- Sets weights vector setTargetReturn<- Sets target return value setTargetRisk<- Sets target return value setRiskFreeRate<- Sets risk-free rate value setNFrontierPoints<- Sets number of frontier points setStatus<- Sets portfolio status information setSolver<- Sets name of desired solver setObjective<- Sets objective function name setTrace<- Sets solver's trace flag ----------------------------------------------------------------------------------------- plot-binning.R assetsHistPairsPlot Displays a bivariate histogram plot plot-boxplot.R assetsBoxPlot Displays a standard box plot assetsBoxPercentilePlot Displays a side-by-side box-percentile plot plot-dateLines.R [ Should go to 'timeSeries package' ? ] annualLines Displays vertical annual lines recessionLines Displays vertical US recession lines recessionPolygons Displays US recession polygons plot.ellipses.R covEllipsesPlot Displays a covariance ellipses plot plot-hist.R assetsHistPlot Displays histograms of a single asset assetsLogDensityPlot Displays pdf plot on logarithmic scale plot-mst.R assetsTreePlot Displays a minimum spanning tree of assets plot-pairs.R assetsPairsPlot Displays pairs of scatterplots of assets assetsCorgramPlot Displays pairwise correlations between assets assetsCorTestPlot Displays and tests pairwise correlations assetsCorImagePlot Displays an image plot of a correlations plot-panels.R .txtPanel Creates a diagonal text panel .minmaxPanel Creates a diagonal minmax text panel .histPanel Creates a diagonal histogram panel .ptsPanel Creates an off-diagonal points panel .piePanel Creates an off-diagonal pie panel .piePtsPanel Creates an off-diagonal pie/points panel .shadePanel Creates an off-diagonal shade panel .ellipsePanel Creates an off-diagonal ellipse panel .cortestPanel Creates an off-diagonal cortest panel .lowessPanel Creates an off-diagonal lowess panel .numberPanel Creates an off-diagonal lowess panel plot-qqplot.R assetsQQNormPlot Displays normal qq-plots of individual assets assetsHistPairsPlot Displays bivariate Histogram Plot plot-risk.R assetsRiskReturnPlot Displays risk-return diagram of assets assetsNIGShapeTrianglePlot Displays NIG Shape Triangle plot-series.R assetsReturnPlot Displays time series of individual assets assetsCumulatedPlot Displays time series of individual assets assetsSeriesPlot Displays time series of individual assets plot-similarity.R assetsDendrogramPlot Displays hierarchical clustering dendrogram assetsCorEigenPlot Displays ratio of the largest two eigenvalues plot-stars.R assetsStarsPlot Displays segment/star diagrams of a multivariate data assetsBasicStatsPlot Displays a segment plot of basic return statistics assetsMomentsPlot Displays a segment plot of distribution moments assetsBoxStatsPlot Displays a segment plot of box plot statistics assetsNIGFitPlot Displays a segment plot NIG parameter estimates plot-vaniniFig.R vaniniFig Creates Vinini's Figure in Portfolio eBook plot-weights.R weightsPlot Plots staggered weights along the frontier weightedReturnsPlot Plots staggered weighted returns covRiskBudgetsPlot Plots covariance risk budgets tailRiskBudgetsPlot Plots copulae tail risk budgets plot-weightsLines.R weightsLinePlot Plots staggered weights weightedReturnsLinePlot Plots staggered weighted returns covRiskBudgetsLinePlot Plots covariance risk budgets NYI tailRiskBudgetsLinePlot Plots copulae tail risk budgets plot-weightsPie.R weightsPie Plots a pie of portfolio weights weightedReturnsPie Plots a pie of weighted means covRiskBudgetsPie Plots a pie of covariance risk budgets tailRiskBudgetsPie Plots a pie of copulae tail risk budgets plot-weightsSlider.R weightsSlider Graphical Weights Slider .counterWeightsSlider ----------------------------------------------------------------------------------------- portfolio-efficientFrontier.R portfolioFrontier Returns the efficient frontier of a portfolio .portfolioFrontier Uses old/alternative Version portfolio-efficientPfolio.R efficientPortfolio Returns a frontier portfolio maxratioPortfolio Returns the max return/risk ratio portfolio tangencyPortfolio Returns the tangency portfolio minriskPortfolio Returns the minimum risk portfolio minvariancePortfolio Returns the minimum variance portfolio maxreturnPortfolio Returns the maximum return portfolio portfolio-feasiblePfolio.R feasiblePortfolio Returns a feasible portfolio portfolio-Rolling.R rollingWindows Returns a list of rolling window frames rollingCmlPortfolio Rolls a CML portfolio rollingTangencyPortfolio Rolls a tangency portfolio rollingMinvariancePortfolio Rolls a minimum risk portfolio rollingPortfolioFrontier Rolls a portfolio frontier ----------------------------------------------------------------------------------------- risk-convexHull.R Data Defines Global Portfolio Data Object portfolioObjective Defines lobal Portfolio Objective Function portfolioReturn Defines lobal Portfolio Return Function portfolioRisk Defines lobal Portfolio Risk Function .convexHull Returns the convex Hull of the feasible set .convexHullDemo Demonstration Function portfolio-covEstimator.R covEstimator Uses sample covariance estimation mveEstimator Uses robust estimation "cov.mve" from [MASS] mcdEstimator Uses robust estimation "cov.mcd" from [MASS] lpmEstimator Returns Lower Partial Moment Estimator slpmEstimator Returns Symmetric Lower Partial Moment Estimator kendallEstimator Returns Kendall's Covariance Estimator spearmanEstimator Returns Spearman's Covariance Estimator covMcdEstimator Requires "covMcd" from [robustbase] covOGKEstimator Requires "covOGK" from [robustbase] shrinkEstimator Requires "cov.shrink" from [corpcor] nnveEstimator Requires "cov.nnve" from [covRobust] .studentEstimator Uses "cov.trob" from [MASS] .baggedEstimator Uses builtin from [corpcor] .donostahEstimator Uses builtin from [robust] .bayesSteinEstimator Borrowed from Alexios Ghalanos .ledoitWolfEstimator Uses builtin from [tawny] .rmtEstimator Uses builtin from [tawny] .mveEstimator2 Uses robust estimation "cov.mve" from [MASS] .mcdEstimator2 Uses robust estimation "cov.mcd" from [MASS] .covMcdEstimator2 Requires "covMcd" from [robustbase] .covOGKEstimator2 Requires "covOGK" from [robustbase] .arwEstimator2 Uses robust estimation ".cov.arw"from [mvoutlier] risk-marginalRisk.R covarRisk Computes covariance portfolio risk mcr Computes marginal contribution to covariance risk mcrBeta Computes beta, the rescaled mcr to covariance risk riskContributions Computes covariance risk contributions riskBudgets Computes covariance risk budgets risk-pfolioMeasures.R covRisk Computes covariance risk as standard deviation varRisk Computes Value at Risk cvarRisk Computes Conditional Value at Risk .covRisk Computes Covariance Risk .varRisk Computes Value at Risk .cvarRisk Computes Conditional Value at Risk .cfgFit Fits bivariate tail dependency parameter lambda .lambdaTailRisk Fits tail lambda for multivariate data risk-stabilityAnalytics.R .parAnalytics Graph frame settings for a desired analytics .emaIndicator Exponential moving average indicator .macdIndicator MACD indicator .drawdownsIndicator Maximum drawdowns indicator .rebalancingStats Rebalancing statistics .turnsAnalytics Retroactive turning point analytics .drawdownsAnalytics Retroactive maximum drawdown analytics .garchAnalytics Retroactive Garch volatility analytics .riskmetricsAnalytics Retroactive Riskmetrics analytics .bcpAnalytics Retroactive Bayesian changepoints analytics .bcpprobAnalytics Retroactive Bayesian changepoints analytics .waveletAnalytics Retroactive Morlet wavelet analytics .pcoutAnalytics Retroactive Principal component outlier analytics risk-tailBudgets.R tailDependenceCoeffs Returns Lower and Upper Tail Dependence Coeff .rgsgnormCopula Generates G-SG-NORM copula random variates .dgsgnormCopula Computes G-SG-NORM copula density .gsgnormCopulaFit Estimates the parameters of the G-SG-NORM copula .cfgTDE Estimates non-parametrically tail dependence .empiricalDependencyFit Estimates tail dependence with empirical marginals .normDependencyFit Estimates tail dependence with normal marginals .nigDependencyFit Estimates tail dependence with NIG marginals .ghtDependencyFit Estimates tail dependence with GHT marginals risk-ternaryMap.R .ternaryMap Plots a ternary risk map .levelplot.ternary Underlying plot function .ternaryMap.demo Demonstration example ----------------------------------------------------------------------------------------- solve-Rampl.R solveRdemoAMPL Demo AMPL solver function for a MV Long Only Portfolio demoModelAMPL Creates AMPL model file for a MV Long Only Portfolio demoDataAMPL Creates AMPL data file for a MV Long Only Portfolio demoRunAMPL Creates AMPL run file for a MV Long Only Portfolio solve-RamplCVaR.R solveRamplCVAR1 Demo AMPL solver function for a CVAR Portfolio solve-Rglpk.R solveRglpk Portfolio interface to solver Rglpk .rglpkArguments Returns arguments for solver .cvarRglpkArguments Returns CVaR arguments for solver .madRglpkArguments Returns MAD arguments for solver .rglpk Wrapper to solver function .rglpkControl Returns default controls for solver solve-RglpkCVaR.R solveRglpkCVAR Demo GLPK solver function for a CVAR Portfolio solve-Ripop.R solveRipop Portfolio interface to solver Ripop .ripopArguments Returns arguments for solver .ripopControl Returns default controls for solver solve-Rquadprog.R solveRquadprog Portfolio interface to solver Rquadprog .rquadprog Wrapper to solver function .rquadprogArguments Returns arguments for solver .rquadprogControl Returns default controls for solver solve-Rquadprog2.R solveRquadprog2 Portfolio interface to solver Rquadpro .rquadprog2Arguments Returns arguments for solver .rquadprog2CLAControl Returns default controls for solver solve-RquadprogCLA.R solveRquadprogCLA Portfolio interface to solver Rquadprog .rquadprogCLA Wrapper to solver function .rquadprogCLAArguments Returns arguments for solver .rquadprogCLAControl Returns default controls for solver solve-RshortExact.R solveRshortExact Portfolio interface to solver RshortExact .rshortExact Wrapper to solver function .rshortExactArguments Returns arguments for solver .rshortExactControl Returns default controls for solver solve-Rsocp.R solveRsocp Portfolio interface to solver Rsocp .rsocp Wrapper to solver function .rsocpArguments Returns arguments for solver .rsocpControl Returns default controls for solver solve-Rsolnp.R solveRsolnp Portfolio interface to solver Rsolnp .rsolnp Wrapper to solver function .rsolnpArguments Returns arguments for solver .rsolnpControl Returns default controls for solver solve-TwoAssets.R .mvSolveTwoAssets Two Assets LongOnly MV Portfolio .cvarSolveTwoAssets Two Assets LongOnly CVaR Portfolio .madSolveTwoAssets Two Assets LongOnly MAD Portfolio ----------------------------------------------------------------------------------------- utils-amplExec.R .amplExec Executes AMPL run file for a given project .amplExample Optimizes mean variance portfolio example utils-amplExtractors.R .amplObjval Extracts objective function value .amplSolution Extracts solution vector .amplModel Extracts model file information .amplRun Extracts model file information .amplSolver Extracts solver name .amplVersion Extracts version number .amplPresolve Extracts presolve information utils-amplInterface.R amplModelOpen Opens a writes to an AMPL model file amplModelAdd Adds model specs to an existing AMPL model fil amplModelShow Shows the content of an AMPL .mod file amplDataOpen Opens and writes the header to an AMPL data fi amplDataAddValue Adds a numeric value to an AMPL data file amplDataAddVector Adds a numeric vector to an AMPL data file amplDataAddMatrix Adds a numeric matrix to an AMPL data file amplDataSemicolon Adds a semicolon on the end of a data input l amplDataShow Shows the content of an AMPL data file amplRunOpen Opens a run file amplRunAdd Adds run specs to an existing AMPL run file amplRunShow Shows the content of an AMPL run file amplOutShow Shows the content of an AMPL output txt file utils-amplLibrary.R .lpAssign Assigns linear programming model .qpAssign Assigns quadratic programming model utils-exampleData.R .exampleData Portfolio data, spec, and constraints examples utils-methods.R print.solver Prints results returned from solver functions .summary.solver summarizes results from solver functions utils-NLPgeneral.R .*TestNLP NLP test functions from package Rsolnp utils-specs.R ----------------------------------------------------------------------------------------- zzz.Deprecated.R zzz.R -----------------------------------------------------------------------------------------