Introduction to PortfolioAnalytics

Intermediate Portfolio Analysis in R

Ross Bennett

Instructor

PortfolioAnalytics

PortfolioAnalytics is designed to provide numerical solutions and visualizations for portfolio optimization problems with complex constraints and objectives

Supports:

  • Multiple and modular constraint and objective types

  • An objective function can be any valid R function

  • User defined moment functions (covariance matrix, return projections)

  • Visualizations

  • Solver agnostic

  • Parallel computing

Intermediate Portfolio Analysis in R

PortfolioAnalytics framework

Inputs: assets, constraints, objectives, asset return moments. Optimization: optimization engine. Output: optimal portfolio

Intermediate Portfolio Analysis in R

Let's practice!

Intermediate Portfolio Analysis in R

Preparing Video For Download...