PortfolioAnalytics

Package: PortfolioAnalytics
Type: Package
Title: Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios
Authors@R: c(
person(given=c("Brian","G."),family="Peterson",role=c("cre","aut","cph"),
email="brian@braverock.com") ,
person(given="Peter",family="Carl",role=c("aut","cph"),
email="peter@braverock.com") ,
person(given="Kris",family="Boudt",role=c("ctb","cph")) ,
person(given="Ross",family="Bennett",role=c("ctb","cph")) ,
person(given="Hezky",family="Varon",role="ctb") ,
person(given="Guy",family="Yollin",role="ctb") ,
person(given="R. Douglas",family="Martin",role="ctb") )
Version: 1.0.3636
Date: 2015-04-18
Maintainer: Brian G. Peterson <brian@braverock.com>
Description: Portfolio optimization and analysis routines and graphics.
Depends: R (>= 2.14.0), zoo, xts (>= 0.8), foreach,
PerformanceAnalytics (>= 1.1.0)
Suggests: quantmod, DEoptim (>= 2.2.1), iterators, fGarch, Rglpk,
quadprog, ROI (>= 0.1.0), ROI.plugin.glpk (>= 0.0.2),
ROI.plugin.quadprog (>= 0.0.2), ROI.plugin.symphony (>= 0.0.2),
pso, GenSA, corpcor, testthat, nloptr (>= 1.0.0), MASS,
robustbase
License: GPL
Copyright: (c) 2004-2015
NeedsCompilation: yes
Packaged: 2015-04-19 01:37:19.121143 UTC; brian
Author: Brian G. Peterson [cre, aut, cph],
Peter Carl [aut, cph],
Kris Boudt [ctb, cph],
Ross Bennett [ctb, cph],
Hezky Varon [ctb],
Guy Yollin [ctb],
R. Douglas Martin [ctb]
Repository: CRAN
Date/Publication: 2015-04-19 07:38:57

Install log

* installing to library '/home/ddbj/local/lib64/R/library'
* installing *source* package 'PortfolioAnalytics' ...
** package 'PortfolioAnalytics' successfully unpacked and MD5 sums checked
** libs
gcc -I/home/ddbj/local/lib64/R/include -DNDEBUG  -I/usr/local/include    -fpic  -g -O2  -c residualcokurtosisMF.c -o residualcokurtosisMF.o
gcc -I/home/ddbj/local/lib64/R/include -DNDEBUG  -I/usr/local/include    -fpic  -g -O2  -c residualcokurtosisSF.c -o residualcokurtosisSF.o
gcc -shared -L/home/ddbj/local/lib64/R/lib -L/usr/local/lib64 -o PortfolioAnalytics.so residualcokurtosisMF.o residualcokurtosisSF.o -L/home/ddbj/local/lib64/R/lib -lR
installing to /home/ddbj/local/lib64/R/library/PortfolioAnalytics/libs
** R
** data
** demo
** inst
** preparing package for lazy loading
** help
*** installing help indices
  converting help for package 'PortfolioAnalytics'
    finding HTML links ... done
    BlackLittermanFormula                   html  
    CCCgarch.MM                             html  
    EntropyProg                             html  
    HHI                                     html  
    PortfolioAnalytics-package              html  
    ac.ranking                              html  
    add.constraint                          html  
    add.objective                           html  
    add.sub.portfolio                       html  
    applyFUN                                html  
    barplotGroupWeights                     html  
    black.litterman                         html  
    box_constraint                          html  
    center                                  html  
    centroid.buckets                        html  
    centroid.complete.mc                    html  
    centroid.sectors                        html  
    centroid.sign                           html  
    chart.Concentration                     html  
    chart.EF.Weights                        html  
    chart.EfficientFrontier                 html  
    chart.EfficientFrontierOverlay          html  
    chart.GroupWeights                      html  
    chart.RiskBudget                        html  
    chart.RiskReward                        html  
    chart.Weights                           html  
    check_constraints                       html  
    cokurtosisMF                            html  
    cokurtosisSF                            html  
    combine.optimizations                   html  
    combine.portfolios                      html  
    constrained_objective                   html  
    constraint                              html  
    constraint_ROI                          html  
    constraint_v2                           html  
    coskewnessMF                            html  
    coskewnessSF                            html  
    covarianceMF                            html  
    covarianceSF                            html  
    create.EfficientFrontier                html  
    diversification                         html  
    diversification_constraint              html  
    equal.weight                            html  
    etl_milp_opt                            html  
    etl_opt                                 html  
    extractCokurtosis                       html  
    extractCoskewness                       html  
    extractCovariance                       html  
    extractEfficientFrontier                html  
    extractGroups                           html  
    extractObjectiveMeasures                html  
    extractStats                            html  
    extractWeights                          html  
    factor_exposure_constraint              html  
    fn_map                                  html  
    generatesequence                        html  
    get_constraints                         html  
    gmv_opt                                 html  
    gmv_opt_leverage                        html  
    gmv_opt_ptc                             html  
    gmv_opt_toc                             html  
    group_constraint                        html  
    group_fail                              html  
    indexes                                 html  
    insert_constraints                      html  
    insert_objectives                       html  
    inverse.volatility.weight               html  
    is.constraint                           html  
    is.objective                            html  
    is.portfolio                            html  
    leverage_exposure_constraint            html  
    maxret_milp_opt                         html  
    maxret_opt                              html  
    meanetl.efficient.frontier              html  
    meanvar.efficient.frontier              html  
    meucci.moments                          html  
    meucci.ranking                          html  
    minmax_objective                        html  
    mult.portfolio.spec                     html  
    name.replace                            html  
    objective                               html  
    optimize.portfolio                      html  
    optimize.portfolio.parallel             html  
    optimize.portfolio.rebalancing          html  
    plot                                    html  
    portfolio.moments.bl                    html  
    portfolio.moments.boudt                 html  
    portfolio.spec                          html  
    portfolio_risk_objective                html  
    pos_limit_fail                          html  
    position_limit_constraint               html  
    print.constraint                        html  
    print.efficient.frontier                html  
    print.optimize.portfolio                html  
    print.optimize.portfolio.rebalancing    html  
    print.portfolio                         html  
    print.summary.optimize.portfolio        html  
    print.summary.optimize.portfolio.rebalancing
                                            html  
    quadratic_utility_objective             html  
    random_portfolios                       html  
    random_portfolios_v1                    html  
    random_walk_portfolios                  html  
    randomize_portfolio                     html  
    randomize_portfolio_v1                  html  
    regime.portfolios                       html  
    return_constraint                       html  
    return_objective                        html  
    risk_budget_objective                   html  
    rp_grid                                 html  
    rp_sample                               html  
    rp_simplex                              html  
    rp_transform                            html  
    scatterFUN                              html  
    set.portfolio.moments                   html  
    set.portfolio.moments_v1                html  
    statistical.factor.model                html  
    summary.efficient.frontier              html  
    summary.optimize.portfolio              html  
    summary.optimize.portfolio.rebalancing
                                            html  
    summary.portfolio                       html  
    trailingFUN                             html  
    transaction_cost_constraint             html  
    turnover                                html  
    turnover_constraint                     html  
    turnover_objective                      html  
    update.constraint                       html  
    update_constraint_v1tov2                html  
    var.portfolio                           html  
    weight_concentration_objective          html  
    weight_sum_constraint                   html  
** building package indices
** installing vignettes
** testing if installed package can be loaded
* DONE (PortfolioAnalytics)
Making 'packages.html' ... done