constrained_optim Demonstrate creating and using constrained portfolio optimization using the dataset 'edhec'. Includes examples of both DEoptim and random portfolio optimization. sortino Maximize the Sortino Ratio of the portfolio testing_ROI Demonstrate creating constraint object and solve five basic convex portfolio optimization problems with ROI using the 'edhec' dataset. testing_pso Demonstrate creating constraint object and solve portfolio optimization problems with pso using the 'edhec' dataset. These sample problems are similar to those used in testing_ROI, so that one can compare solutions easily. testing_GenSA Demonstrate creating the constraint object and solve portfolio optimization problems with GenSA using the 'edhec' datset. These sample problems are similar to those used in testing_ROI, so that one can compare solutions easily. demo_DEoptim Demonstrate solving portfolio optimization problems using DEoptim as the solver. The demo solvers 4 problems: 1) Maximize mean return per unit mETL 2) Minimize annualized standard deviation 3) Minimize annualized standard deviation with equal contribution to risk using standard deviation as the risk measure 4) Maximize mean return with equal contribution to risk using modified ETL as the risk measure. demo_efficient_frontier Demonstrate how to create and chart efficient frontiers. demo_factor_exposure Demonstrate how to use the factor_exposure constraint. demo_JPM2024MinDownsideRisk Replicates all Exhibits in JPM 2024 paper Minimm Downside Risk Portfolios. demo_JPM2024MinDownsideRiskCVXR Replicates selected Exhibits in JPM 2024 paper Minimm Downside Risk Portfolios. demo_opt_combine Demonstrate how to combine and chart the optimal weights for multiple optimizations. demo_weight_concentration Demonstrate how to use the weight concentration objective. backwards_compat Demonstrate how to solve optimization problems using v1 specification with a v1_constraint object. demo_random_portfolios Demonstrate examples from script.workshop2012.R using random portfolios. demo_proportional_cost Demonstrate how to use proportional transaction cost constraint. demo_return_target Demonstrate how to specify a target return as a constraint or objective. demo_group_constraints Demonstrate using group constraints. demo_leverage_exposure_constraint Demonstrate using the leverage exposure constraint to put a constraint on overall portfolio leverage exposure. demo_max_STARR Demonstrate maximizing STARR as an objective using ROI, DEoptim, and random solvers. demo_max_Sharpe Demonstrate maximizing sharpe ratio as an objective using ROI, DEoptim, and random solvers. demo_max_quadratic_utility Demonstrate solving maximum quadratic utility objective with ROI solver. demo_max_return Demonstrate objective to maximize portfolio mean return. demo_min_StdDev Demonstrate objective to minimize portfolio standard deviation. demo_min_expected_shortfall Demonstrate objective to minimize expected shortfall. demo_risk_budgets Demonstrate using risk budget objectives. demo_roi_solvers Demonstrate specifying a solver using ROI. demo_cvxrPortfolioAnalytics Demonstrates use of CVXR solvers. demo_robustCovMatForPA Demonstrates the use of robust covariance matrix estimators. chart_concentration Demonstrate chart.Concentration multiple_portfolio_optimization Demonstrate passing a list of portfolios to optimize.portfolio and optimize.portfolio.rebalancing regime_switching Demonstrate optimization with support for regime switching to switch portfolios based on the regime. higher_moments_boudt Demonstrate using a statistical factor model to estimate moments based on work by Kris Boudt. multi_layer_optimization Demonstrate multi layer optimization of optimization problem with two layers and two sub portfolios in the lower layer. meucci_ffv Demonstrate Meucci's Fully Flexible Views framework to estimate moments and use as inputs for minimum variance optimization. relative_ranking Demonstrate expressing views on the relative ranking of expected returns based on two methods; 1) R. Almgren and N. Chriss, "Portfolios from Sorts" and 2) A. Meucci, "Fully Flexible Views: Theory and Practice".
