{ "_id": "6a15438eacfb0bcc41d56971", "Package": "REN", "Type": "Package", "Title": "Regularization Ensemble for Robust Portfolio Optimization", "Version": "0.1.0", "Authors@R": "c(\nperson(given = \"Hardik\", family = \"Dixit\", role = \"aut\"),\nperson(given = \"Shijia\", family = \"Wang\", role = \"aut\"),\nperson(given = \"Bonsoo\", family = \"Koo\", role = c(\"aut\", \"cre\"), email = \"bonsoo.koo@monash.edu\"),\nperson(given = \"Cash\", family = \"Looi\", role = \"aut\"),\nperson(given = \"Hong\", family = \"Wang\", role = \"aut\"))", "Maintainer": "Bonsoo Koo ", "Description": "Portfolio optimization is achieved through a combination\nof regularization techniques and ensemble methods that are\ndesigned to generate stable out-of-sample return predictions,\nparticularly in the presence of strong correlations among\nassets. The package includes functions for data preparation,\nparallel processing, and portfolio analysis using methods such\nas Mean-Variance, James-Stein, LASSO, Ridge Regression, and\nEqual Weighting. It also provides visualization tools and\nperformance metrics, such as the Sharpe ratio, volatility, and\nmaximum drawdown, to assess the results.", "License": "AGPL (>= 3)", "Encoding": "UTF-8", "RoxygenNote": "7.3.2", "VignetteBuilder": "knitr", "Config/testthat/edition": "3", "LazyData": "true", "Config/pak/sysreqs": "libicu-dev", "Repository": "https://bonsook.r-universe.dev", "Date/Publication": "2024-10-15 01:21:52 UTC", "RemoteUrl": "https://github.com/bonsook/ren", "RemoteRef": "HEAD", "RemoteSha": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-26 06:48:45 UTC", "User": "root" }, "Author": "Hardik Dixit [aut],\nShijia Wang [aut],\nBonsoo Koo [aut, cre],\nCash Looi [aut],\nHong Wang [aut]", "MD5sum": "f91b408ace48bba6c4450e598b6c91dd", "_user": "bonsook", "_type": "src", "_file": "REN_0.1.0.tar.gz", "_fileid": "72ebf693468098f813254ade00fe17cac8f32466beecbbc6353dd2eae1f7d948", "_filesize": 14725567, "_sha256": "72ebf693468098f813254ade00fe17cac8f32466beecbbc6353dd2eae1f7d948", "_created": "2026-05-26T06:48:45.000Z", "_published": "2026-05-26T06:54:06.470Z", "_distro": "noble", "_jobs": [ { "job": 77821943690, "time": 279, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7210656790" }, { "job": 77821943778, "time": 267, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7210653803" }, { "job": 77821943666, "time": 265, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7210646238" }, { "job": 77821943750, "time": 241, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7210641399" }, { "job": 77821529900, "time": 198, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7210587204" }, { "job": 77821943631, "time": 113, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7210615627" }, { "job": 77821943685, "time": 239, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7210646891" }, { "job": 77821943712, "time": 274, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7210655946" }, { "job": 77821943674, "time": 256, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7210650978" } ], "_buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/bonsook/ren", "_commit": { "id": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "author": "SHIJIA WANG ", "committer": "SHIJIA WANG ", "message": "added presentation slides as asked by Damjan\n", "time": 1728955312 }, "_maintainer": { "name": "Bonsoo Koo", "email": "bonsoo.koo@monash.edu", "login": "bonsook", "description": "", "uuid": 10456926 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 2.10", "role": "Depends" }, { "package": "lubridate", "role": "Imports" }, { "package": "glmnet", "role": "Imports" }, { "package": "quadprog", "role": "Imports" }, { "package": "doParallel", "role": "Imports" }, { "package": "Matrix", "role": "Imports" }, { "package": "tictoc", "role": "Imports" }, { "package": "corpcor", "role": "Imports" }, { "package": "ggplot2", "role": "Imports" }, { "package": "reshape2", "role": "Imports" }, { "package": "foreach", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "parallel", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "KernSmooth", "role": "Suggests" }, { "package": "cluster", "role": "Suggests" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" } ], "_owner": "bonsook", "_selfowned": true, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 1, "_contributors": [ { "user": "davidwang0212", "count": 23, "uuid": 126654825 }, { "user": "hdix0003", "count": 7, "uuid": 127929082 }, { "user": "bonsook", "count": 1, "uuid": 10456926 } ], "_userbio": { "uuid": 10456926, "type": "user", "name": "Bonsoo Koo" }, "_downloads": { "count": 137, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/REN" }, "_devurl": "https://github.com/bonsook/ren", "_searchresults": 2, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "extra/REN.html", "manual.pdf" ], "_homeurl": "https://github.com/bonsook/ren", "_realowner": "bonsook", "_cranurl": true, "_releases": [ { "version": "0.1.0", "date": "2024-10-10" } ], "_exports": [ "buh.clust", "insert.at", "perform_analysis", "po.avg", "po.bhu", "po.cols", "po.covShrink", "po.grossExp", "po.JM", "po.SW", "po.SW.lasso", "po.TZT", "prepare_data", "ren", "setup_parallel" ], "_datasets": [ { "name": "FF25", "title": "FF25 Dataset", "object": "FF25", "class": [ "data.frame" ], "fields": [ "X.1", "X", "SMALL.LoBM", "ME1.BM2", "ME1.BM3", "ME1.BM4", "SMALL.HiBM", "ME2.BM1", "ME2.BM2", "ME2.BM3", "ME2.BM4", "ME2.BM5", "ME3.BM1", "ME3.BM2", "ME3.BM3", "ME3.BM4", "ME3.BM5", "ME4.BM1", "ME4.BM2", "ME4.BM3", "ME4.BM4", "ME4.BM5", "BIG.LoBM", "ME5.BM2", "ME5.BM3", "ME5.BM4", "BIG.HiBM" ], "rows": 25670, "table": true, "tojson": true } ], "_help": [ { "page": "buh.clust", "title": "Perform Hierarchical Clustering on Asset Correlations", "topics": [ "buh.clust" ] }, { "page": "FF25", "title": "FF25 Dataset", "topics": [ "FF25" ] }, { "page": "insert.at", "title": "Insert Values at Specified Positions in a Vector", "topics": [ "insert.at" ] }, { "page": "perform_analysis", "title": "Perform Portfolio Analysis", "topics": [ "perform_analysis" ] }, { "page": "po.avg", "title": "Perform LASSO or Ridge Regression for Portfolio Optimization", "topics": [ "po.avg" ] }, { "page": "po.bhu", "title": "Perform Portfolio Optimization Using Clusters and LASSO", "topics": [ "po.bhu" ] }, { "page": "po.cols", "title": "Perform Simple Linear Model for Portfolio Optimization", "topics": [ "po.cols" ] }, { "page": "po.covShrink", "title": "Perform Shrinkage-Based Portfolio Optimization", "topics": [ "po.covShrink" ] }, { "page": "po.grossExp", "title": "Perform Gross Exposure Portfolio Optimization", "topics": [ "po.grossExp" ] }, { "page": "po.JM", "title": "Perform James-Stein Portfolio Optimization", "topics": [ "po.JM" ] }, { "page": "po.SW", "title": "Perform Stochastic Weight Portfolio Optimization", "topics": [ "po.SW" ] }, { "page": "po.SW.lasso", "title": "Perform LASSO Regularization with Stochastic Weight Portfolio Optimization", "topics": [ "po.SW.lasso" ] }, { "page": "po.TZT", "title": "Perform Portfolio Optimization Using TZT Method", "topics": [ "po.TZT" ] }, { "page": "prepare_data", "title": "Prepare Data for Portfolio Analysis", "topics": [ "prepare_data" ] }, { "page": "ren", "title": "Main Function for Portfolio Analysis", "topics": [ "ren" ] }, { "page": "setup_parallel", "title": "Setup Parallel Processing for Portfolio Analysis", "topics": [ "setup_parallel" ] } ], "_readme": "https://github.com/bonsook/ren/raw/HEAD/README.md", "_rundeps": [ "cli", "codetools", "corpcor", "cpp11", "doParallel", "farver", "foreach", "generics", "ggplot2", "glmnet", "glue", "gtable", "isoband", "iterators", "labeling", "lattice", "lifecycle", "lubridate", "magrittr", "Matrix", "plyr", "quadprog", "R6", "RColorBrewer", "Rcpp", "RcppEigen", "reshape2", "rlang", "S7", "scales", "shape", "stringi", "stringr", "survival", "tictoc", "timechange", "vctrs", "viridisLite", "withr" ], "_vignettes": [ { "source": "REN.Rmd", "filename": "REN.html", "title": "'REN': Regularization Ensemble for Portfolio Optimization", "engine": "knitr::rmarkdown", "headings": [ "Introduction", "Installation", "Setting Up Parallel Processing", "Example", "Preparing the Data", "Example with FF25 Dataset", "What is the FF25 Dataset?", "Example Data Preparation", "Performing Portfolio Analysis", "Outputs", "1. Turnover Mean", "2.Sharpe Ratio", "3. Volatility", "4. Maximum Drawdown", "1. Cumulative Returns Plot", "2. Cumulative Turnover Plot", "Once you're done with the parallel computation, remember to stop the cluster to free up resources:", "Stop the parallel cluster", "Conclusion" ], "created": "2024-09-19 02:51:06", "modified": "2024-09-30 05:37:25", "commits": 6 } ], "_score": 4, "_indexed": true, "_nocasepkg": "ren", "_universes": [ "bonsook" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.0", "date": "2026-05-26T06:51:08.000Z", "distro": "noble", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "2a9cf7759a20e6ac82517bc4e16fa77c02048e082d313367404368aaea297ade", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.6.0", "os": "linux", "version": "0.1.0", "date": "2026-05-26T06:51:01.000Z", "distro": "noble", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "21e492298709c71b52b93015e6f0992aad14365941e46e2506ed989257703bfb", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.5.3", "os": "mac", "version": "0.1.0", "date": "2026-05-26T06:51:23.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "1028b6fd9fe1ab065f259201def74fa4133cdc9d4a456310390c458ad3bb5289", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.6.0", "os": "mac", "version": "0.1.0", "date": "2026-05-26T06:50:56.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "2c9f42ee64b9699dd4d3fb3c6d45fe9035989a3edc4b9bc30e2ae14ddb3af844", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.0", "date": "2026-05-26T06:50:59.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "c5b15c1a55e6458de00ed77c79bedb32159857cb871e4531e0712ae65ef7782d", "status": "success", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.7.0", "os": "win", "version": "0.1.0", "date": "2026-05-26T06:50:08.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "e525e1fa840d69e7c475acb96386fd93ed7583529eb19418abf8e1d496915fe9", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.5.3", "os": "win", "version": "0.1.0", "date": "2026-05-26T06:50:36.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "6190be72ca876069c4c021f77a21bbb312082d4af367606c3370e2d35616f1e5", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" }, { "r": "4.6.0", "os": "win", "version": "0.1.0", "date": "2026-05-26T06:50:14.000Z", "commit": "fe43a89ce0e81763f2aa592cd50b8a9016d1249c", "fileid": "94ce070924dce0fed8f420635cadfa648fd564007c991a2a0bc3cb66f90cab8f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/bonsook/actions/runs/26436836286" } ] }