Package: parma 1.7

parma: Portfolio Allocation and Risk Management Applications

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Authors:Alexios Galanos [aut, cre], Bernhard Pfaff [ctb], Miguel Sousa Lobo [ctb], Lieven Vandenberghe [ctb], Stephen Boyd [ctb], Herve Lebret [ctb]

parma_1.7.tar.gz
parma_1.7.zip(r-4.7)parma_1.7.zip(r-4.6)parma_1.7.zip(r-4.5)
parma_1.7.tgz(r-4.6-x86_64)parma_1.7.tgz(r-4.6-arm64)parma_1.7.tgz(r-4.5-x86_64)parma_1.7.tgz(r-4.5-arm64)
parma_1.7.tar.gz(r-4.7-arm64)parma_1.7.tar.gz(r-4.7-x86_64)parma_1.7.tar.gz(r-4.6-arm64)parma_1.7.tar.gz(r-4.6-x86_64)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
parma/json (API)

# Install 'parma' in R:

install.packages('parma', repos = c('https://alexiosg.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/alexiosg/parma/issues

Uses libs:

openblas– Optimized BLAS

Datasets:

etfdata - 15 Exchange Traded Funds

On CRAN:

openblas

4.48 score 4 stars 15 scripts 424 downloads 32 exports 6 dependencies

Last updated from:24080c8f3c. Checks:12 OK, 1 FAIL. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	145
linux-devel-x86_64	OK	126
source / vignettes	OK	173
linux-release-arm64	OK	148
linux-release-x86_64	OK	129
macos-release-arm64	OK	81
macos-release-x86_64	OK	332
macos-oldrel-arm64	OK	105
macos-oldrel-x86_64	OK	184
windows-devel	OK	100
windows-release	OK	92
windows-oldrel	OK	105
wasm-release	FAIL	96

Exports:checkarbitrage cmaes cmaes.control ineqfun.bsturnover.min ineqfun.bsturnover.opt ineqfun.turnover.min ineqfun.turnover.opt ineqfun.variance.min ineqfun.variance.opt ineqjac.bsturnover.min ineqjac.bsturnover.opt ineqjac.turnover.min ineqjac.turnover.opt ineqjac.variance.min ineqjac.variance.opt parmafrontier parmaget parmareward parmarisk parmaset<-parmasolve parmaspec parmastatus parmautility riskfun show Socp SocpControl SocpPhase1 SocpPhase2 tictoc weights

Dependencies:corpcor nloptr quadprog Rglpk slam truncnorm

Portfolio Optimization in parma

Rendered fromPortfolio_Optimization_in_parma.pdf.asisusingR.rsp::asis

Last update: 2022-06-13
Started: 2022-06-13

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
The parma package	parma-package parma
The Covariance Matrix Adaptation Evolution Strategy (cmaes) Solver	cmaes cmaes.control
NLP custom constraint functions	ineqfun.bsturnover.min ineqfun.bsturnover.opt ineqfun.turnover.min ineqfun.turnover.opt ineqfun.variance.min ineqfun.variance.opt ineqjac.bsturnover.min ineqjac.bsturnover.opt ineqjac.turnover.min ineqjac.turnover.opt ineqjac.variance.min ineqjac.variance.opt
15 Exchange Traded Funds (ETFs)	etfdata
Efficient Frontier Generator	parmafrontier parmafrontier,ANY-method parmafrontier,parmaSpec-method parmafrontier-methods
Class '"parmaPort"'	checkarbitrage checkarbitrage,ANY-method checkarbitrage,parmaPort-method parmaPort-class parmareward parmareward,ANY-method parmareward,parmaPort-method parmarisk parmarisk,ANY-method parmarisk,parmaPort-method parmastatus parmastatus,ANY-method parmastatus,parmaPort-method show,parmaPort-method tictoc tictoc,ANY-method tictoc,parmaPort-method weights,parmaPort-method
Portfolio Allocation Model Solver	parmasolve parmasolve,ANY-method parmasolve,parmaSpec-method parmasolve-methods
Class '"parmaSpec"'	parmaget parmaget,ANY-method parmaget,parmaSpec-method parmaset<- parmaset<-,ANY,ANY-method parmaset<-,parmaSpec,vector-method parmaSpec-class show,parmaSpec-method
Portfolio Allocation Model Specification	parmaspec parmaspec,ANY-method parmaspec-methods
Utility Based Optimization	parmautility parmautility,ANY-method parmautility-methods
Portfolio Risk Measures	riskfun
Second-order Cone Programming	Socp
Control Variables for Socp	SocpControl
SOCP: Initialising objective variable x in primal form	SocpPhase1
SOCP: Initialising objective variable z in dual form	SocpPhase2