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CRAN: Package PortfolioAnalytics

PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Portfolio optimization and analysis routines and graphics.

Version: 2.1.1
Depends: R (≥ 4.0.0), zoo, xts (≥ 0.10-1), foreach, PerformanceAnalytics (≥ 1.5.1)
Imports: methods, GenSA, ROI.plugin.symphony, mco, pso
Suggests: quantmod, DEoptim (≥ 2.2.1), iterators, doParallel, doMC, fGarch, Rglpk, quadprog, ROI (≥ 0.1.0), ROI.plugin.glpk (≥ 0.0.2), ROI.plugin.quadprog (≥ 0.0.2), corpcor, testthat, nloptr (≥ 1.0.0), MASS, robustbase, osqp, CVXR, data.table, knitr, rmarkdown, GSE, RobStatTM, PCRA, R.rsp, RPESE, TTR, Matrix
Published: 2026-02-04
DOI: 10.32614/CRAN.package.PortfolioAnalytics
Author: Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Ross Bennett [ctb, cph], Kris Boudt [ctb, cph], Xinran Zhao [ctb, cph], R. Douglas Martin [ctb], Guy Yollin [ctb], Hezky Varon [ctb], Xiaokang Feng [ctb], Yifu Kang [ctb]
Maintainer: Brian G. Peterson <brian at braverock.com>
License: GPL-3
Copyright: (c) 2004-2026
URL: https://github.com/braverock/PortfolioAnalytics
NeedsCompilation: yes
Materials: README
CRAN checks: PortfolioAnalytics results [issues need fixing before 2026-03-28]

Documentation:

Reference manual: PortfolioAnalytics.html , PortfolioAnalytics.pdf
Vignettes: CVXR for PortfolioAnalytics (source)
Using Robust Covariance Matrix Estimators in PortfolioAnalytics (source)
Portfolio Optimization with ROI in PortfolioAnalytics (source, R code)
Custom Moment and Objective Functions (source, R code)
An Introduction to Portfolio Optimization with PortfolioAnalytics (source, R code)
Portfolio Optimization with CVaR budgets in PortfolioAnalytics (source, R code)

Downloads:

Package source: PortfolioAnalytics_2.1.1.tar.gz
Windows binaries: r-devel: PortfolioAnalytics_2.1.1.zip, r-release: PortfolioAnalytics_2.1.1.zip, r-oldrel: PortfolioAnalytics_2.1.1.zip
macOS binaries: r-release (arm64): PortfolioAnalytics_2.1.1.tgz, r-oldrel (arm64): PortfolioAnalytics_2.1.1.tgz, r-release (x86_64): PortfolioAnalytics_2.1.1.tgz, r-oldrel (x86_64): PortfolioAnalytics_2.1.1.tgz
Old sources: PortfolioAnalytics archive

Reverse dependencies:

Reverse imports: facmodTS, PCRA

Linking:

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