For information about Portfolio optimization theory, see Portfolio Optimization Theory.
Portfolio | Create Portfolio object for mean-variance portfolio optimization and analysis |
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |
Portfolios are points from a feasible set of assets that constitute an asset universe.
Using the Portfolio object and associated functions for portfolio optimization.
Using the PortfolioCVaR object and associated functions for portfolio optimization.
Using the PortfolioMAD object and associated functions for portfolio optimization.