highOrderPortfolios
Design of High-Order Portfolios Including Skewness and Kurtosis
Description
The classical Markowitz's mean-variance portfolio formulation ignores heavy tails and skewness. High-order portfolios use higher order moments to better characterize the return distribution. Different formulations and fast algorithms are proposed for high-order portfolios based on the mean, variance, skewness, and kurtosis. The package is based on the papers: R. Zhou and D. P. Palomar (2021). "Solving High-Order Portfolios via Successive Convex Approximation Algorithms." <arXiv:2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar (2022). "Efficient and Scalable High-Order Portfolios Design via Parametric Skew-t Distribution." <arXiv:2206.02412>.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains <arXiv:2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar Parametric Skew-t Distribution." <arXiv:2206.02412>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains <arXiv:2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar Parametric Skew-t Distribution." <arXiv:2206.02412>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
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Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains <arXiv:2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar Parametric Skew-t Distribution." <arXiv:2206.02412>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains <arXiv:2008.00863>. X. Wang, R. Zhou, J. Ying, and D. P. Palomar Parametric Skew-t Distribution." <arXiv:2206.02412>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.