PortfolioOptim

1.1.1

Small/Large Sample Portfolio Optimization

0packages depend

2.8Kdownloads / year

86.4%test coverage

12/13checks pass

Overview

About

Maintained by Andrzej PalczewskiFirst published 2017-04-202 releasesCRAN page ↗

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)

install.packages("PortfolioOptim", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-portfoliooptim

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-PortfolioOptim

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

Health

CRAN checks

1NOTE12OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 54 s · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.11

86.4%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-03-10
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 33%

Downloads

2.8K

CRAN downloads in the past year

Rank #14,194 · ~8/day · ~235/mo

Releases R versions

Daily download trend is not available in this view yet.

21430 days

72690 days

2.8K1 year

Compare downloads with other packages →

Also on120 r2u50 c2d4u

Dependencies

Declared dependencies

4 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.3.0

Imports (1)

Rsymphony

LinkingTo (0)

none

Suggests (3)

mvtnorm Rglpk testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (2)

Maintainer (1)

Andrzej Palczewski

Author, Maintainer

Authors (1)

Andrzej Palczewski

Author, Maintainer

Contributors (1)

Aleksandra Dabrowska

Contributor

Package Timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
1.1.1Latest
2019-02-07 · current release · diff ↗
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
1.0.3
2017-04-20
R
R 3.3.0 released · 2016-05-03

Package metadata

First published: 2017-04-20
Total releases: 2 / 9 yrs
License: GNU General Public License version 3
Minimum R: ≥ 3.3.0
Download size: 13 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

Report a problem with this page →