useR! 2024

Several contributed packages on CRAN as well as other package repositories offer tools to carry out empirical and quantitative financial research with R [1]. A very well-recognized collection of such packages is the Rmetrics suite of packages offering functionality for many different aspects of empirical and computational finance. In this talk we focus on the fPortfolio package, in particular on portfolio handling and on solving a wide variety of portfolio optimization problems. We present a prototype of the next major version of the package which will be using ROI [2,3], an extensible framework for modeling and solving linear as well as nonlinear (possibly mixed-integer) optimization problems as a backend. Furthermore, we indicate how this package could be employed in practice to manage model portfolios along various regions, base currencies and/or risk constraints. [1] Dirk Eddelbuettel. CRAN task view: Empirical finance, 2024. https://CRAN.R-project.org/view=Finance [2] Stefan Theußl, Florian Schwendinger, and Kurt Hornik. ROI: An Extensible R Optimization Infrastructure. Journal of Statistical Software, 94(15):1-64, 2020. doi: 10.18637/jss.v094.i15.