Package: RiskPortfolios 2.1.7

RiskPortfolios: Computation of Risk-Based Portfolios

Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) <doi:10.1007/s10479-017-2474-7> and Ardia et al. (2017) <doi:10.21105/joss.00171>.

Authors:David Ardia [aut, cre, cph], Kris Boudt [aut], Jean-Philippe Gagnon-Fleury [aut]

RiskPortfolios_2.1.7.tar.gz
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RiskPortfolios.pdf |RiskPortfolios.html✨
RiskPortfolios/json (API)
NEWS

# Install 'RiskPortfolios' in R:
install.packages('RiskPortfolios', repos = c('https://ardiad.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ardiad/riskportfolios/issues

Datasets:

On CRAN:

Conda:

covarianceoptimizationportfolioportfolio-optimizationrisk

5.53 score 51 stars 1 packages 44 scripts 485 downloads 4 exports 3 dependencies

Last updated 4 years agofrom:9a8b3bda32. Checks:1 OK, 7 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKFeb 13 2025
R-4.5-winNOTEFeb 13 2025
R-4.5-macNOTEFeb 13 2025
R-4.5-linuxNOTEFeb 13 2025
R-4.4-winNOTEFeb 13 2025
R-4.4-macNOTEFeb 13 2025
R-4.3-winNOTEFeb 13 2025
R-4.3-macNOTEFeb 13 2025

Exports:covEstimationmeanEstimationoptimalPortfoliosemidevEstimation

Dependencies:MASSnloptrquadprog