PortfolioOptim
Small/Large Sample Portfolio Optimization
Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.1 |
rolling linux/jammy R-4.5 | PortfolioOptim_1.1.1.tar.gz |
53.0 KiB |
1.1.1 |
rolling linux/noble R-4.5 | PortfolioOptim_1.1.1.tar.gz |
53.0 KiB |
1.1.1 |
rolling source/ R- | PortfolioOptim_1.1.1.tar.gz |
12.6 KiB |
1.1.1 |
latest linux/jammy R-4.5 | PortfolioOptim_1.1.1.tar.gz |
53.0 KiB |
1.1.1 |
latest linux/noble R-4.5 | PortfolioOptim_1.1.1.tar.gz |
53.0 KiB |
1.1.1 |
latest source/ R- | PortfolioOptim_1.1.1.tar.gz |
12.6 KiB |
1.1.1 |
2026-04-26 source/ R- | PortfolioOptim_1.1.1.tar.gz |
12.6 KiB |
1.1.1 |
2026-04-23 source/ R- | PortfolioOptim_1.1.1.tar.gz |
12.6 KiB |
1.1.1 |
2026-04-09 windows/windows R-4.5 | PortfolioOptim_1.1.1.zip |
56.0 KiB |
1.1.1 |
2025-04-20 source/ R- | PortfolioOptim_1.1.1.tar.gz |
12.6 KiB |