
PACKAGE:

    fPortfolio
    
    The functions listed in this reference card are available from the 
    CRAN server, its development version can be downloaded from the 
    r-forge Server. 

                                 
REFERENCE CARD:                  
                                 
assets-arrange.R                 
                                 
    assetsArrange                 Rearranges the columns in a data set of assets
      statsArrange                  Returns statistically reordered column names
      pcaArrange                    Returns PCA correlation ordered column names
      hclustArrage                  Returns hierarchical clustered column names 
      abcArrage                     Returns alphabetically sorted column names 
      orderArrange                  Returns permuted column names 
      sampleArrage                  Returns randomly sampled column names 
                                  
assets-dist.R                    
                                 
    assetsDist                    Computes the distances between assets         
      corDist                       Returns correlation distance measure
      kendallDist                   Returns kendalls correlation distance measure        
      spearmanDist                  Returns spearmans correlation distance measure
      mutinfoDist                   Returns mutual information distance measure                            
      euclideanDist                 Returns Euclidean distance measure
      maximumDist                   Returns maximum distance measure
      manhattanDist                 Returns Manhattan distance measure
      canberraDist                  Returns Canberra distance measure
      binaryDist                    Returns binary distance measure
      minkowskiDist                 Returns Minkowsky distance measure                        
      braycurtisDist                Returns Bray Curtis distance measure
      mahalanobisDist               Returns Mahalanobis distance measure
      jaccardDist                   Returns Jaccard distance mesaure
      differenceDist                Returns difference distance measure
      sorensenDist                  Returns Sorensen distance measure                 
                                 
assets-fit.R                     
                                 
    assetsFit                     Fits the parameters of a set of assets
      mvnormFit                     Fits a multivariate Normal distribution
      mvsnormFit                    Fits a multivariate skew-Normal distribution
      mvstFit                       Fits a multivariate skew-Student-t distribution
                                  
assets-lpm.R                      
                                  
    assetsLPM                     Computes asymmetric lower partial moments
    assetsSLPM                    Computes symmetric lower partial moments
                                 
assets-meancov.R                 
                                 
    assetsMeanCov                 Estimates mean and variance for a set of assets
      .covMeanCov                   uses sample covariance estimation
      .mveMeanCov                   uses "cov.mve" from [MASS]
      .mcdMeanCov                   uses "cov.mcd" from [MASS]
      .studentMeanCov               uses "cov.trob" from [MASS]
      .MCDMeanCov                   uses "covMcd" from [robustbase]  
      .OGKMeanCov                   uses "covOGK" from [robustbase] 
      .nnveMeanCov                  uses builtin from [covRobust]
      .shrinkMeanCov                uses builtin from [corpcor]
      .baggedMeanCov                uses builtin from [corpcor]
      .arwMeanCov                   uses builtin from [mvoutlier]
      .donostahMeanCov              uses builtin from [robust]
      .bayesSteinMeanCov            uses code borrowed from Alexios Ghalanos
      .ledoitWolfMeanCov            uses builtin from [tawny]
      .rmtMeanCov                   uses builtin from [tawny]
    getCenterRob                  Extracts the robust estimate for the center
    getCovRob                     Extracts the robust estimate for the covariance
                                  
assets-outliers.R                 
                                 
    assetsOutliers                Detects outliers in multivariate assets sets
                                 
assets-portfolio.R               
                                 
    pfolioVaR                     Computes VaR for a portfolio of assets
    pfolioCVaR                    Computes CVaR for a portfoluio of assets
    pfolioCVaRplus                Computes CVaR-Plus for a portfolio of assets
      lambdaCVaR                    Computes CVaR's atomic split value lambda
    pfolioMaxLoss                 Computes maximum loss for a portfolio 
    pfolioReturn                  Computes return series for a portfolio
    pfolioTargetReturn            Computes target return for a portfolio
    pfolioTargetRisk              Computes target risk for a portfolio
    pfolioHist                    Plots a histogram of portfolio returns
                                  
assets-resolution.R [should go to 'timeSeries' package?]              
                                  
    asMonthly                     Converts a timeSeries into an end-of-month series
    asAnnual                      Converts a timeSeries into an end-of-year series
    asDecades                     Converts a timeSeries into an end-of-decade series   
                                  
assets-select.R                   
                                  
    assetsSelect                  Selects similar or dissimilar assets 
      hclustSelect                  Selects assets due to hierarchical clustering 
      kmeansSelect                  Selects assets due to k-means clustering     
                                  
assets-simulate.R                      
                                  
    assetsSim                     Simulates a set of artificial assets 
                                  
assets-test.R                     
                                  
    assetsTest                    Tests for multivariate Normal Assets
      mvshapiroTest                 Multivariate Shapiro Test
      mvenergyTest                  Multivariate E-Statistic (Energy) Test
     
-----------------------------------------------------------------------------------------
                            
backtest-defaultFunctions.R      
                                 
    equidistWindows               Defines default equal distant rolling windows
    tangencyStrategy              Defines default tangency strategy portfolio
    emaSmoother                   Defines default EMA weights smoother
                                  
backtest-getBacktestSpec.R        
                                  
    getWindows                    Extracts windows slot
      getWindowsFun                 Extracts name of windows function
      getWindowsParams              Extracts a list of windows specific parameters
      getWindowsHorizon             Extracts windows horizon
    getStrategy                   Extracts strategy slot
      getStrategyFun                Extracts the name of portfolio strategy function
      getStrategyParams             Extracts a list of strategy specific parameters
    getSmoother                   Extracts the smoother slot
      getSmootherFun                Extracts the name of the moother function
      getSmootherParams             Extracts a list of smoothing specific parameters
      getSmootherLambda             Extracts the smoothing parameter Lambda
      getSmootherDoubleSmoothing    Extracts setting for double smoothing
      getSmootherInitialWeights     Extracts the initial weights in the smoothing
      getSmootherSkip               Extracts the number of skipped months
    getMessages                   Extracts the message slot
                                 
backtest-getMethods.R            
                                 
    getWindows                    Extracts windows information             
      getWindowsFun                 Extracts windows function
      getWindowsParams              Extracts windows function parameters        
      getWindowsHorizon             Extracts windows Horizon
    getStrategy                   Extracts strategy information
      getStrategyFun                Extracts strategy function
      getStrategyParams             Extracts strategy function parameters
    getSmoother                   Extracts smoother information
      getSmootherFun                Extracts smoother function
      getSmootherParams             Extracts smoother function parameters
      getSmootherLambda             Extracts decay parameter
      getSmootherDoubleSmoothing    Extracts double smoothing flag
      getSmootherInitialWeights     Extracts initial weights
      getSmootherSkip               Extracs skip smoothing flag
    getMessages                   Extracts messages
                                  
backtest-methodsShow.R            
                                  
    show.fPFOLIOBACKTEST          Print method for 'fPFOLIOBACKTEST' objects
                                  
backtest-netPerformance.R         
                                  
    netPerformance                Returns performance from a portfolio backtest
      .netPerformanceYTD            Returns year-to-date performance 
      .netPerformanceCalendar       Returns calendar performance
      .netPerformancePlot           Creates a net performance plot
                                  
backtest-pfolioBacktest.R        
                                 
    portfolioBacktesting          Performs a portfolio backtesting
    portfolioSmoothing            Smoothes the weights of a portfolio backtesting
                                  
backtest-pfolioBacktestSpec.R     
                                  
    portfolioBacktest             Returns an object of class 'fPFOLIOBACKTEST'
                                  
backtest-plots.R                  
                                  
    backtestPlot                  Creates a summary of backtesting plots
      backtestAssetsPlot            Plots assets used in a portfolio backtest   
      backtestWeightsPlot           Plots recommended weights from a backtest
      backtestRebalancePlot         Plots rebalanced weights of a backtest 
      backtestPortfolioPlot         Plots benchmark and portfolio series
      backtestDrawdownPlot          Plots the drawdown of the portfolio backtest
      backtestReportPlot            Prints backtest report
                                  
backtest-rollingStats.R           
                                 
    backtestStats                 Wrapper function for calculating rolling statistics
      rollingSigma                  Rolling portfolio Sigma risk
      rollingVaR                    Rolling Value at Risk
      rollingCVaR                   Rolling Conditional Value at Risk
      rollingDar                    Rolling Drawdowns at Risk
      rollingCDaR                   Rolling Conditional Drawdowns at Risk
                                  
backtest-setBacktestSpec.R        
                                  
    setWindowsFun<-               Sets name of rolling windows function
      setWindowsParams<-            Sets additional parameters to windows function
      setWindowsHorizon<-           Sets horizon of the rolling window    
    setStrategyFun<-              Sets name of portfolio strategy function    
      setStrategyParams<-           Sets additional parameters to strategy function
    setSmootherFun<-              Sets name of weights smoothing function
      setSmootherParams<-           Sets additional parameters to smoother function
      setSmootherLambda<-           Sets lambda for EMA smoothing
      setSmootherDoubleSmoothing<-  Sets double ema setting, logical
      setSmootherInitialWeights<-   Sets initial weights of the portfolio
      setSmootherSkip<-             Sets number of months to skip starting
     
-----------------------------------------------------------------------------------------

builtin-*.R
       
    builtin-arwMvoutlier
    builtin-baggedCorpcor
    builtin-BayesStein
    builtin-corrgram
    builtin-distEcodist
    builtin-donostahRobust
    builtin-mstApe
    builtin-nnveCovRobust
    builtin-ogkRrcov
    builtin-rmtTawney
    builtin-shrinkCorpcor
    builtin-shrinkTawney
    builtin-solveRdeoptim
    builtin-testEnergy
    
-----------------------------------------------------------------------------------------

frontier-getPoints.R

    frontierPoints                Extracts frontier points
    
frontier-portfolioPlots.R

    frontierPlot                  Plots efficient frontier
      minvariancePoints             Adds minimum variance point
      cmlPoints                     Adds market portfolio
      cmlLines                      Adds capital market Line
      tangencyPoints                Adds tangency portfolio point
      tangencyLines                 Adds tangency line
      equalWeightsPoints            Adds point of equal weights portfolio
      singleAssetPoints             Adds points of single asset portfolios
      twoAssetsLines                Adds EF for all combinations of two assets
      sharpeRatioLines              Adds Sharpe ratio line
      monteCarloPoints              Adds randomly produced feasible portfolios
    frontierPlotControl           Sets frontier plot control parameters
    tailoredFrontierPlot          Tailored frontier plot wit addons
                                  
frontier-weightPlots.R            
                                  
    .weightsWheel                 Adds a pie of weights to frontier plot
    .attributesWheel              Adds a pie of attributes to frontier plot
    .notStackedWeightsPlot        Plots the not stacked weights of potfolio
    .addlegend                    Adds legend to sliders
    
-----------------------------------------------------------------------------------------

mathprogLP.R

    rsolveLP                      General Interface for LP solvers
      .solveLP.MAD.demo             Demonstation Example
      .solveLP.GLPK.demo            Demonstation Example
                                  
mathprogLP-ampl.R                 
                                  
    ramplLP                       Rmetrics Interface for AMPL LP solvers
    amplLP                        Convenience wrapper for AMPL LP solvers
    amplLPControl                 AMPL LP control parameter list
                                  
mathprogLP-glpk.R                 
                                  
    rglpkLP                       Rmetrics Interface for Rglpk LP solver 
    glpkLP                        Convenience wrapper for Rglpk LP solver
    glpkLPControl                 Rglpk LP control parameter list

mathprogLP-neos.R

    rneoslLP                      Rmetrics Interface for AMPL/NEOS LP solvers
    neoslLP                       Convenience wrapper for AMPL/NEOS LP solvers
    neoslLPControl                AMPL/NEOS LP control parameter list
                                  
mathprogLP-symphony.R             
    rsymphonyLP                   Rmetrics Interface for SYMPHONY LP solvers
    symphonyLP                    Convenience wrapper for SYMPHONY LP solvers
    symphonyLPControl             SYMPHONY LP control parameter list

-----------------------------------------------------------------------------------------

mathprogNLP.R

    .solveNLP.demo                Mean-variance portfolio demo example
    
mathprogNLP-ampl.R

    ramplNLP                      Rmetrics Interface for AMPL LP solvers 
    amplNLP                       Convenience wrapper for AMPL LP solvers
    amplControl                   AMPL LP control parameter list   
                                  
mathprogNLP-nlminb2.R             
                                  
    rnlminb2NLP                   Rmetrics Interface for NLMINB2 LP solvers 
    nlminb2NLP                    Convenience wrapper for NLMINB2 LP solvers
    nlminb2Control                NLMINB2 LP control parameter list         
    rnlminb2                      Synonyme name for Rnlminb2::nlminb2 function     
                                  
mathprogNLP-solnp.R               
                                  
    rsolnpNLP                     Rmetrics Interface for SOLNP LP solvers 
    solnpNLP                      Convenience wrapper for SOLNP LP solvers
    solnpNLPControl               SOLNP LP control parameter list         
    rsolnp                        Synonyme name for Rsolnp::solnp function      
    
    
-----------------------------------------------------------------------------------------

mathprogQP.R

    rsolveQP                      General Interface for QP solvers
      .solveQP.MV.demo              Mean-Variance portfolio demo example
                                  
mathprogQP-ampl.R                 
                                  
    ramplQP                       Rmetrics Interface for AMPL QP solvers
    amplQP                        Convenience wrapper for AMPL QP solvers
    amplQPControl                 AMPL QP control parameter list
                                  
mathprogQP-ipop.R

    ripopQP                       Rmetrics Interface for LOQO QP solver
    ipopQP                        Convenience wrapper for LOQO QP solver
    ipopQPControl                 LOQO QP control parameter list
    ripop                         Synonyme name for kernlab::ipop function 
                                  
mathprogQP-kestrel.R              
                                  
    rkestrelQP                    Rmetrics Interface for AMPL/KESTREL QP solvers
    kestrelQP                     Convenience wrapper for AMPL/KESTREL QP solvers
    kestrelQPControl              KESTREL QP control parameter list
                                  
mathprogQP-neos.R                 
                                  
    rneosQP                       Rmetrics Interface for AMPL/NEOS QP solvers
    neosQP                        Convenience wrapper for AMPL/NEOS QP solvers
    neosQPControl                 NEOS QP control parameter list
                                  
mathprogQP-quadprog.R             
                                  
    rquadprogQP                   Rmetrics Interface for QUADPROG QP solvers 
    quadprogQP                    Convenience wrapper for QUADPROG QP solvers
    quadprogQPControl             QUADPROG QP control parameter list    
    rquadprog                     Synonyme name for quadprog::solveLP function
    
----------------------------------------------------------------------------------------

methods-mathprog.R

    print.solver                  Solver method
                                  
methods-plot.R                    
                                  
    plot.fPORTFOLIO               S3 Plot method for 'fPORTFOLIO' objects
      .fPortfolio.plot1..8          Internal plot functions
                                  
methods-show.R                    
                                  
    show.fPORTFOLIO               S4 Print method for 'fPPORTFOLIO' objects
    show.fPFOLIODATA              S4 Print method for 'fPFOLIODATA' objects
    show.fPFOLIOSPEC              S4 Print method for 'fPFOLIOSPEC' objects
    show.fPFOLIOCON               S4 Print method for 'fPFOLIOCON' objects
                                  
methods-summary.R                 
                                  
    summary.fPORTFOLIO            S3 Summary method for 'fPORTFOLIO' objects

-----------------------------------------------------------------------------------------

object-getData.R

    getData                       Extracts data slot
      getSeries                     Extracts assets series data 
      getNAssets                    Extracts number of assets from data
      getNames                      Extracts assets names from data
    getStatistics                 Extracts statistics slot
      getMean                       Extracs mean from statistics
      getCov                        Extracs covariance Sigma from statistics
      getMu                         Extracs mu from statistics
      getSigma                      Extracs Sigma from statistics
      getEstimator                  Extracts estimator from statistics
    getTailRisk                   Extracts tailRisk slot
                                  
object-getPortfolio.R             
                                  
    getData                       Extracts data slot                                  
      getSeries                     Extracts assets series data                        
      getNAssets                    Extracts number of assets from data                
      getNames                      Extracts assets names from data                    
    getStatistics                 Extracts statistics slot                            
      getMean                       Extracs 'mean' from statistics                       
      getCov                        Extracs covariance 'Sigma' from statistics           
      getMu                         Extracs mu from statistics                         
      getSigma                      Extracs Sigma from statistics                      
      getEstimator                  Extracts estimator from                            
    getTailRisk                   Extracts 'tailRisk' slot                                                                    
    getSpec                       Extracs specification slot                          
      getType                       Extracts type of portfolio                         
      getOptimize                   Extracts what to optimize of portfolio             
      getEstimator                  Extracts mean-covariance estimator                 
      getParams                     Extracts optional parameter list                   
        getAlpha                      Extracts target VaR-alpha specification           
        getA                          Extracts quadratic LPM exponent specification     
    getPortfolio                  Extract portfolio slot                              
      getWeights                    Extracts weights from a portfolio object           
      getTargetReturn               Extracts target return from specification          
      getTargetRisk                 Extracts target riks from specification            
      getRiskFreeRate               Extracts risk free rate from specification         
      getNFrontierPoints            Extracts number of frontier points                 
      getStatus                     Extracts portfolio status information              
    getOptim                      Extract optim slot                                  
      getSolver                     Extracts solver from specification                 
      getObjective                  Extracts objective
      getOptions                    Extracts optimization options
      getControl                    Extracts solver control options
      getTrace                      Extracts solver's trace flag
    getConstraints                Extracts weight constraints
    getCovRiskBudgets             Extracts covariance risk budgets
    getTailRiskBudgets            Extracts tail risk budgets

object-getPortfolioVal.R

    getPortfolio                  Extracts portfolio from value object
    getWeights                    Extracts weights from value object
    getCovRiskBudgets             Extracts covarisnce risk budgets value
    getTargetReturn               Extracts target return from value object
    getTargetRisk                 Extracts target risk from value object
    getAlpha                      Extracts CVaR alpha from value object
    getRiskFreeRate               Extracts risk free rate from value object
    getNFrontierPoints            Extracts number of frontier points value
    getStatus                     Extracts status from value object

object-getSpec.R

    getModel                      Extract whole model slot
      getType                       Extract portfolio type from specification 
      getOptimize                   Extract what to optimize from specification
      getEstimator                  Extract type of covariance estimator
      getTailRisk                   Extract list of tail dependency risk matrixes
      getParams                     Extract parameters from specification
        getAlpha                      Extracts target VaR-alpha specification
        getA                          Extracts quadratic LPM Exponent
    getPortfolio                  Extract whole portfolio slot
      getWeights                    Extracts weights from a portfolio object
      getTargetReturn               Extracts target return from specification
      getTargetRisk                 Extracts target riks from specification
      getRiskFreeRate               Extracts risk free rate from specification 
      getNFrontierPoints            Extracts number of frontier points 
      getStatus                     Extracts portfolio status information
    getOptim                      Extract whole optim slot
      getSolver                     Extracts solver from specification
      getObjective                  Extracs name of objective function
      getOptions                    Extracs options              
      getControl                    Extracs control list parameters
      getTrace                      Extracts solver's trace flag
    getMessages                   Extract whole messages slot

object-getUseMethods.R

    getA                          Defines Use Method for A                
    getAlpha                      Defines Use Method for Alpha            
    getConstraints                Defines Use Method for Constraints      
    getControl                    Defines Use Method for Control          
    getCov                        Defines Use Method for Cov              
    getCovRiskBudgets             Defines Use Method for CovRiskBudgets   
    getData                       Defines Use Method for Data             
    getEstimator                  Defines Use Method for Estimator        
    getMean                       Defines Use Method for Mean             
    getMu                         Defines Use Method for Mu               
    getNAssets                    Defines Use Method for NAssets          
    getNames                      Defines Use Method for Names            
    getNFrontierPoints            Defines Use Method for NFrontierPoints  
    getMessages                   Defines Use Method for Messages         
    getObjective                  Defines Use Method for Objective        
    getOptim                      Defines Use Method for Optim            
    getOptimize                   Defines Use Method for Optimize         
    getOptions                    Defines Use Method for Options          
    getPortfolio                  Defines Use Method for Portfolio        
    getParams                     Defines Use Method for Params           
    getRiskFreeRates              Defines Use Method for RiskFreeRates    
    getSeries                     Defines Use Method for Series           
    getSigma                      Defines Use Method for Sigma            
    getSolver                     Defines Use Method for Solver           
    getSpec                       Defines Use Method for Spec             
    getStatistics                 Defines Use Method for Statistics       
    getStatus                     Defines Use Method for Status           
    getTailRisk                   Defines Use Method for TailRisk         
    getTailRiskBudgets            Defines Use Method for TailRiskBudgets  
    getTargetReturn               Defines Use Method for TargetReturn     
    getTargetRisk                 Defines Use Method for TargetRisk       
    getTrace                      Defines Use Method for Trace            
    getType                       Defines Use Method for Type             
    getWeights                    Defines Use Method for Weights          

object-portfolioCons.R

    portfolioConstraints          Returns an object of class fPFOLIOCON
    minWConstraints               Returns vector with min box constraints
    maxWConstraints               Returns vector with max box constraints
    eqsumWConstraints             Returns list with group equal vec/matrix constraints
    minsumWConstraints            Returns list with group min vec/matrix constraints
    maxsumWConstraints            Returns list with group max vec/matrix constraints
    minBConstraints               Returns vector with min cov risk budget constraints
    maxBConstraints               Returns vector with max cov risk budget constraints
    minFConstraints               Returns vector with min nonlin functions constraints
    maxFConstraints               Returns vector with max nonlin functions constraints
    nCardConstraints              Returns number of Cardinalities
    minCardConstraints            Returns lower bound of Cardinalities
    maxCardConstraints            Returns upper bound of Cardinalities
                                  
object-portfolioData.R            
                                  
    portfolioData                 Returns an object of class fPFOLIODATA

object-portfolioSpec.R

    portfolioSpec                 Returns an object of class fPFOLIOSPEC
      .checkWeights                 Checks and forces tiny weights to zero
      .checkSpecVsConstraints       Checks if spec and constraints do match
      .checkTargetReturn            Checks if target Return is defined
                                  
object-setSpec.R                  
                                  
    setType<-                     Sets type of portfolio optimization
      setOptimize<-                 Sets what to optimze, minRisk or maxRetururn
      setEstimator<-                Sets name of mean-covariance estimator
      setTailRisk<-                 Sets tail dependency matrix
      setParams<-                   Sets optional model parameters
    setWeights<-                  Sets weights vector
      setTargetReturn<-             Sets target return value
      setTargetRisk<-               Sets target return value
      setRiskFreeRate<-             Sets risk-free rate value
      setNFrontierPoints<-          Sets number of frontier points
      setStatus<-                   Sets portfolio status information
    setSolver<-                   Sets name of desired solver
      setObjective<-                Sets objective function name
      setTrace<-                    Sets solver's trace flag

-----------------------------------------------------------------------------------------

plot-binning.R

    assetsHistPairsPlot           Displays a bivariate histogram plot
                                  
plot-boxplot.R                    
                                  
    assetsBoxPlot                 Displays a standard box plot 
    assetsBoxPercentilePlot       Displays a side-by-side box-percentile plot
                                  
plot-dateLines.R [ Should go to 'timeSeries package' ? ]                
                                  
    annualLines                   Displays vertical annual lines
    recessionLines                Displays vertical US recession lines
    recessionPolygons             Displays US recession polygons

plot.ellipses.R

    covEllipsesPlot               Displays a covariance ellipses plot
                                  
plot-hist.R                       
                                  
    assetsHistPlot                Displays histograms of a single asset 
    assetsLogDensityPlot          Displays pdf plot on logarithmic scale
                                  
plot-mst.R                        
                                  
    assetsTreePlot                Displays a minimum spanning tree of assets
                                  
plot-pairs.R                      
                                  
    assetsPairsPlot               Displays pairs of scatterplots of assets     
    assetsCorgramPlot             Displays pairwise correlations between assets
    assetsCorTestPlot             Displays and tests pairwise correlations     
    assetsCorImagePlot            Displays an image plot of a correlations   
                                  
plot-panels.R

    .txtPanel                     Creates a diagonal text panel
    .minmaxPanel                  Creates a diagonal minmax text panel
    .histPanel                    Creates a diagonal histogram panel
    .ptsPanel                     Creates an off-diagonal points panel
    .piePanel                     Creates an off-diagonal pie panel
    .piePtsPanel                  Creates an off-diagonal pie/points panel
    .shadePanel                   Creates an off-diagonal shade panel
    .ellipsePanel                 Creates an off-diagonal ellipse panel
    .cortestPanel                 Creates an off-diagonal cortest panel
    .lowessPanel                  Creates an off-diagonal lowess panel
    .numberPanel                  Creates an off-diagonal lowess panel
                                  
plot-qqplot.R                     
                                  
    assetsQQNormPlot              Displays normal qq-plots of individual assets
    assetsHistPairsPlot           Displays bivariate Histogram Plot

plot-risk.R

    assetsRiskReturnPlot          Displays risk-return diagram of assets
    assetsNIGShapeTrianglePlot    Displays NIG Shape Triangle
                                  
plot-series.R                     
                                  
    assetsReturnPlot              Displays time series of individual assets
    assetsCumulatedPlot           Displays time series of individual assets
    assetsSeriesPlot              Displays time series of individual assets
                                  
plot-similarity.R                 
                                  
    assetsDendrogramPlot          Displays hierarchical clustering dendrogram  
    assetsCorEigenPlot            Displays ratio of the largest two eigenvalues
    
plot-stars.R

    assetsStarsPlot               Displays segment/star diagrams of a multivariate data
      assetsBasicStatsPlot          Displays a segment plot of basic return statistics
      assetsMomentsPlot             Displays a segment plot of distribution moments
      assetsBoxStatsPlot            Displays a segment plot of box plot statistics
      assetsNIGFitPlot              Displays a segment plot NIG parameter estimates

plot-vaniniFig.R

    vaniniFig                     Creates Vinini's Figure in Portfolio eBook

plot-weights.R

    weightsPlot                   Plots staggered weights along the frontier
      weightedReturnsPlot           Plots staggered weighted returns
      covRiskBudgetsPlot            Plots covariance risk budgets
      tailRiskBudgetsPlot           Plots copulae tail risk budgets

plot-weightsLines.R

    weightsLinePlot               Plots staggered weights
      weightedReturnsLinePlot       Plots staggered weighted returns
      covRiskBudgetsLinePlot        Plots covariance risk budgets
      NYI tailRiskBudgetsLinePlot   Plots copulae tail risk budgets

plot-weightsPie.R

    weightsPie                    Plots a pie of portfolio weights
      weightedReturnsPie            Plots a pie of weighted means
      covRiskBudgetsPie             Plots a pie of covariance risk budgets
      tailRiskBudgetsPie            Plots a pie of copulae tail risk budgets

plot-weightsSlider.R

    weightsSlider                 Graphical Weights Slider
      .counterWeightsSlider

-----------------------------------------------------------------------------------------

portfolio-efficientFrontier.R

    portfolioFrontier             Returns the efficient frontier of a portfolio
      .portfolioFrontier            Uses old/alternative Version

portfolio-efficientPfolio.R

    efficientPortfolio            Returns a frontier portfolio
    maxratioPortfolio             Returns the max return/risk ratio portfolio
    tangencyPortfolio             Returns the tangency portfolio
    minriskPortfolio              Returns the minimum risk portfolio
    minvariancePortfolio          Returns the minimum variance portfolio
    maxreturnPortfolio            Returns the maximum return portfolio

portfolio-feasiblePfolio.R

    feasiblePortfolio             Returns a feasible portfolio

portfolio-Rolling.R

    rollingWindows                Returns a list of rolling window frames
    rollingCmlPortfolio           Rolls a CML portfolio
    rollingTangencyPortfolio      Rolls a tangency portfolio
    rollingMinvariancePortfolio   Rolls a minimum risk portfolio
    rollingPortfolioFrontier      Rolls a portfolio frontier

-----------------------------------------------------------------------------------------
    
risk-convexHull.R

    Data                          Defines Global Portfolio Data Object
    portfolioObjective            Defines lobal Portfolio Objective Function
    portfolioReturn               Defines lobal Portfolio Return Function
    portfolioRisk                 Defines lobal Portfolio Risk Function
    .convexHull                   Returns the convex Hull of the feasible set
      .convexHullDemo               Demonstration Function
      
portfolio-covEstimator.R

    covEstimator                  Uses sample covariance estimation
    mveEstimator                  Uses robust estimation "cov.mve" from [MASS]
    mcdEstimator                  Uses robust estimation "cov.mcd" from [MASS]
    lpmEstimator                  Returns Lower Partial Moment Estimator
    slpmEstimator                 Returns Symmetric Lower Partial Moment Estimator
    kendallEstimator              Returns Kendall's Covariance Estimator
    spearmanEstimator             Returns Spearman's Covariance Estimator
    covMcdEstimator               Requires "covMcd" from [robustbase]
    covOGKEstimator               Requires "covOGK" from [robustbase]
    shrinkEstimator               Requires "cov.shrink" from [corpcor]
    nnveEstimator                 Requires "cov.nnve" from [covRobust]
    .studentEstimator             Uses "cov.trob" from [MASS]
    .baggedEstimator              Uses builtin from [corpcor]
    .donostahEstimator            Uses builtin from [robust]
    .bayesSteinEstimator          Borrowed from Alexios Ghalanos
    .ledoitWolfEstimator          Uses builtin from [tawny]
    .rmtEstimator                 Uses builtin from [tawny]
    .mveEstimator2                Uses robust estimation "cov.mve" from [MASS]
    .mcdEstimator2                Uses robust estimation "cov.mcd" from [MASS]
    .covMcdEstimator2             Requires "covMcd" from [robustbase]
    .covOGKEstimator2             Requires "covOGK" from [robustbase]
    .arwEstimator2                Uses robust estimation ".cov.arw"from [mvoutlier]

risk-marginalRisk.R                      
                                  
    covarRisk                     Computes covariance portfolio risk
    mcr                           Computes marginal contribution to covariance risk
    mcrBeta                       Computes beta, the rescaled mcr to covariance risk
    riskContributions             Computes covariance risk contributions
    riskBudgets                   Computes covariance risk budgets
    
risk-pfolioMeasures.R

    covRisk                       Computes covariance risk as standard deviation
    varRisk                       Computes Value at Risk
    cvarRisk                      Computes Conditional Value at Risk
    .covRisk                      Computes Covariance Risk
    .varRisk                      Computes Value at Risk
    .cvarRisk                     Computes Conditional Value at Risk
    .cfgFit                       Fits bivariate tail dependency parameter lambda
    .lambdaTailRisk               Fits tail lambda for multivariate data
    
risk-stabilityAnalytics.R

    .parAnalytics                 Graph frame settings for a desired analytics   
    .emaIndicator                 Exponential moving average indicator
    .macdIndicator                  MACD indicator
    .drawdownsIndicator             Maximum drawdowns indicator  
    .rebalancingStats             Rebalancing statistics    
    .turnsAnalytics               Retroactive turning point analytics 
    .drawdownsAnalytics             Retroactive maximum drawdown analytics
    .garchAnalytics                 Retroactive Garch volatility analytics
    .riskmetricsAnalytics           Retroactive Riskmetrics analytics
    .bcpAnalytics                   Retroactive Bayesian changepoints analytics
    .bcpprobAnalytics               Retroactive Bayesian changepoints analytics
    .waveletAnalytics               Retroactive Morlet wavelet analytics
    .pcoutAnalytics                 Retroactive Principal component outlier analytics

risk-tailBudgets.R                   
                                 
    tailDependenceCoeffs          Returns Lower and Upper Tail Dependence Coeff   
      .rgsgnormCopula               Generates G-SG-NORM copula random variates   
      .dgsgnormCopula               Computes G-SG-NORM copula density                            
      .gsgnormCopulaFit             Estimates the parameters of the G-SG-NORM copula    
      .cfgTDE                       Estimates non-parametrically tail dependence  
      .empiricalDependencyFit       Estimates tail dependence with empirical marginals
      .normDependencyFit            Estimates tail dependence with normal marginals
      .nigDependencyFit             Estimates tail dependence with NIG marginals 
      .ghtDependencyFit             Estimates tail dependence with GHT marginals 
   
risk-ternaryMap.R

    .ternaryMap                   Plots a ternary risk map
    .levelplot.ternary              Underlying plot function
    .ternaryMap.demo                Demonstration example
        
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solve-Rampl.R
                                       
    solveRdemoAMPL                Demo AMPL solver function for a MV Long Only Portfolio                                    
    demoModelAMPL                 Creates AMPL model file for a MV Long Only Portfolio
    demoDataAMPL                  Creates AMPL data file for a MV Long Only Portfolio 
    demoRunAMPL                   Creates AMPL run file for a MV Long Only Portfolio 
                                  
solve-RamplCVaR.R                 
                                  
    solveRamplCVAR1               Demo AMPL solver function for a CVAR Portfolio    
                                  
solve-Rglpk.R

    solveRglpk                    Portfolio interface to solver Rglpk
    .rglpkArguments               Returns arguments for solver
      .cvarRglpkArguments          Returns CVaR arguments for solver
      .madRglpkArguments           Returns MAD arguments for solver
    .rglpk                        Wrapper to solver function
    .rglpkControl                 Returns default controls for solver   

solve-RglpkCVaR.R

    solveRglpkCVAR                Demo GLPK solver function for a CVAR Portfolio
                                  
solve-Ripop.R                     
                                  
    solveRipop                    Portfolio interface to solver Ripop
    .ripopArguments               Returns arguments for solver
    .ripopControl                 Returns default controls for solver
                                  
solve-Rquadprog.R                 
                                  
    solveRquadprog                Portfolio interface to solver Rquadprog
    .rquadprog                    Wrapper to solver function
    .rquadprogArguments           Returns arguments for solver
    .rquadprogControl             Returns default controls for solver
                                  
solve-Rquadprog2.R                
                                  
    solveRquadprog2               Portfolio interface to solver Rquadpro
    .rquadprog2Arguments          Returns arguments for solver
    .rquadprog2CLAControl         Returns default controls for solver

solve-RquadprogCLA.R

    solveRquadprogCLA             Portfolio interface to solver Rquadprog
    .rquadprogCLA                 Wrapper to solver function
    .rquadprogCLAArguments        Returns arguments for solver
    .rquadprogCLAControl          Returns default controls for solver
                                  
solve-RshortExact.R               
                                  
    solveRshortExact              Portfolio interface to solver RshortExact
    .rshortExact                  Wrapper to solver function
    .rshortExactArguments         Returns arguments for solver
    .rshortExactControl           Returns default controls for solver
                                  
solve-Rsocp.R                     
                                  
    solveRsocp                    Portfolio interface to solver Rsocp
    .rsocp                        Wrapper to solver function
    .rsocpArguments               Returns arguments for solver
    .rsocpControl                 Returns default controls for solver
                                  
solve-Rsolnp.R                    
                                  
    solveRsolnp                   Portfolio interface to solver Rsolnp
    .rsolnp                       Wrapper to solver function
    .rsolnpArguments              Returns arguments for solver
    .rsolnpControl                Returns default controls for solver
                                  
solve-TwoAssets.R                 
                                  
    .mvSolveTwoAssets             Two Assets LongOnly MV Portfolio
    .cvarSolveTwoAssets           Two Assets LongOnly CVaR Portfolio
    .madSolveTwoAssets            Two Assets LongOnly MAD Portfolio

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utils-amplExec.R

    .amplExec                     Executes AMPL run file for a given project
    .amplExample                  Optimizes mean variance portfolio example

utils-amplExtractors.R

    .amplObjval                   Extracts objective function value
    .amplSolution                 Extracts solution vector
    .amplModel                    Extracts model file information
    .amplRun                      Extracts model file information
    .amplSolver                   Extracts solver name
    .amplVersion                  Extracts version number
    .amplPresolve                 Extracts presolve information

utils-amplInterface.R

    amplModelOpen                 Opens a writes to an AMPL model file
     amplModelAdd                   Adds model specs to an existing AMPL model fil
     amplModelShow                  Shows the content of an AMPL .mod file
    amplDataOpen                  Opens and writes the header to an AMPL data fi
     amplDataAddValue               Adds a numeric value to an AMPL data file
     amplDataAddVector              Adds a numeric vector to an AMPL data file
     amplDataAddMatrix              Adds a numeric matrix to an AMPL data file
     amplDataSemicolon              Adds a semicolon on the end of a data input l
     amplDataShow                   Shows the content of an AMPL data file
    amplRunOpen                   Opens a run file
     amplRunAdd                     Adds run specs to an existing AMPL run file
     amplRunShow                    Shows the content of an AMPL run file   
    amplOutShow                   Shows the content of an AMPL output txt file  

utils-amplLibrary.R

    .lpAssign                     Assigns linear programming model
    .qpAssign                     Assigns quadratic programming model

utils-exampleData.R

    .exampleData                  Portfolio data, spec, and constraints examples

utils-methods.R

    print.solver                  Prints results returned from solver functions
    .summary.solver               summarizes results from solver functions

utils-NLPgeneral.R

    .*TestNLP                     NLP test functions from package Rsolnp

utils-specs.R

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zzz.Deprecated.R              

zzz.R

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