R Observatory: Metrics for highOrderPortfolios version 0.1.1

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

highOrderPortfolios

0.1.1

Design of High-Order Portfolios Including Skewness and Kurtosis

0packages depend

8.1Kdownloads / year

35.4%test coverage

11/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2022-10-113 releasesCRAN page ↗GitHub ↗

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.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("highOrderPortfolios", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("dppalomar/highOrderPortfolios")

Development version from dppalomar/highOrderPortfolios. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-highorderportfolios

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-highOrderPortfolios

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-highOrderPortfolios

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 4.3 min · r-devel-windows-x86_64

Code health

Yes

Tests · ratio 0.11

35.4%

Coverage · measured lines

100%

Documentation · exports

8

Dependencies · direct

Check history

NOTE2026-06-09
11 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
11 OK · 1 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 112 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 94%
Return-value docs: 100%
References docs: 70%

Downloads

8.1K

CRAN downloads in the past year

Rank #5,762 · ~22/day · ~672/mo

Releases R versions

Daily download trend is not available in this view yet.

25030 days

1.4K90 days

8.1K1 year

Compare downloads with other packages →

Also on396 r2u25 autocran

Repository

GitHub ↗ dppalomar/highorderportfolios

28Stars

8Forks

1Open issues

0Open PRs

1Releases

106Commits

5Contributors

License GPL-3.0 · 106 commits · Last activity 2022-11-29 · 0% stars, 30d

Stars over time

2025-07-14 · 252026-07-07 · 28

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 5 families in the upstream repository

Checks run against github.com/dppalomar/highorderportfolios on 2026-08-23.

Continuous integration (1)

GitHub Actions

Reproducibility and dev environment (1)

data-raw/

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Show all practices

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

11 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (8)

ECOSolveR lpSolveAPI nloptr PerformanceAnalytics quadprog fitHeavyTailstatsutils

LinkingTo (0)

none

Suggests (5)

knitr ggplot2 rmarkdown R.rsp testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Datasets

People & History

People (3)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (3)

Daniel P. Palomar

Maintainer, Author

Xiwen Wang

Author

Rui Zhou

Author

Listed in earlier versions (1)

Daniel P.

no longer listed · 0.0.2 to 0.1.1

Package Timeline

3 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
0.1.1Latest
2022-10-20 · current release · diff ↗
0.1.0
2022-10-19 · diff ↗
0.0.2
2022-10-11
R
R 4.2.0 released · 2022-04-22

Package metadata

First published: 2022-10-11
Total releases: 3 / 4 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.5.0
Bundled data: 1,008 KB / 3 files
Download size: 1.4 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("highOrderPortfolios")

Format

Palomar, D. P., Wang, X., & Zhou, R. (2022). highOrderPortfolios: Design of High-Order Portfolios Including Skewness and Kurtosis (Version 0.1.1) [Computer software]. https://doi.org/10.32614/CRAN.package.highOrderPortfolios

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for highOrderPortfolios version 0.1.1 [Data set]. HJJB, LLC. Data release v2026-08-24. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-24, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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