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Scenario-based portfolio optimization

scenportopt is a R extension package to conduct scenario-based portfolio optimization.

Installation

# install package devtools from CRAN
if(!("devtools" %in% rownames(installed.packages()))) { install.packages("devtools") }

# install modopt.matlab and scenportopt from GitHub
require("devtools")
install_github("modopt.matlab", "rhochreiter")
install_github("scenportopt", "rhochreiter")

Examples

• Portfolio Optimization 101.
• Compare Markowitz, MAD and Expected Shortfall (CVaR) asset allocations.
• Calculate active extension (130/30) portfolios.
• Compute and plot efficient frontiers.