Portfolio Probe Cookbook

Recipes for some common tasks.


This contains examples of R code that you can run yourself.  Just copy and paste the code into your R session.  It is easy to modify the code to work with your own data.

Note to S+ Users: The following tasks are done in R — if you are using S+ instead, some commands might be slightly different.  However, Portfolio Probe commands will be identical.

1. Data Basics

  • Read data into R
  • Example data
  • Use data

Data Basics

2. Generate Random Portfolios

  • Long-only
  • Long-short
  • Constraints
  • Using random portfolios

Generate Random Portfolios

3. Optimize Trades

  • Long-only passive
  • Long-only active
  • Long-short
  • Constraints and costs
  • Using results
  • Scenario optimization
  • Related tasks

Optimize Trades

8. C++ and Portfolio Probe

It is possible to call the R functions in Portfolio Probe from C++.

The RInside Strategy

9. R Notes

R Notes