PortfolioAnalytics is a popular R package designed to provide optimized solution and visualizations for portfolio allocating problems with complex constraints and objectives. In order to finish the optimization tasks, it contains many solvers from other R packages. In the summer of 2019, I implemented three optimization engine into PortfolioAnalytics package. I implemented Rglpk as an advanced linear programming problems solver to manage assets objective to the ratio of a portfolio return over its expected shortfall. I implemented osqp as a more involved quadratic programming problems solver to build a portfolio according to Modern Portfolio Theory, and generate efficient frontier as a preference for users. I implemented mco as a progressive multicriteria optimization tool to satisfy portfolio managers' complex needs. With the effort of these new engines, the PortfolioAnalytics is able to solve the optimization problems precisely, fast, and squeeze all possible profit.

Student

Shawn Feng

Mentors

  • Brian Peterson
  • soumya kalra
  • Erol Biceroglu
  • Peter Carl
  • Ross Bennett
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2019