[NMOF-news] NMOF 2.2-2 on CRAN

[Enrico Schumann]

Version 2.2-2 of the NMOF package has been released.

It is available from
   https://cran.r-project.org/package=NMOF
and from the Git repository at
   https://github.com/enricoschumann/NMOF

The NEWS file entry:

  o New function 'minCVaR' for computing minimum CVaR
    portfolios. For details, see
    http://enricoschumann.net/notes/minimising-conditional-var.html

  o New function 'trackingPortfolio'. For details, see
    http://enricoschumann.net/notes/return-based-tracking-portfolios.html

  o New vignette 'Functions for portfolio selection'.

  o 'TAopt' gains a new option 'drop0' (to be passed
    via 'algo): if TRUE, zero values are dropped from
    the sample of objective-function values during the
    computation of the threshold sequence. See
    https://stackoverflow.com/questions/63377180/finding-ideal-filter-setting-to-maximize-target-function

  o 'French' supports more datasets. For industry
    portfolios, the function now also provides "Sum of
    BE/Sum of ME". The data are attached as an
    attribute "sumBE.sumME". All data-frames attached
    as attributes now have the timestamps as rownames.

  o The setting-up of constraints matrices in
    portfolio-selection functions such as 'minvar' is
    now fixed; thanks to 'clcsar' for reporting on
    GitHub. Also, the functions now allow group labels
    for specifying constraints.
    See https://github.com/enricoschumann/NMOF/issues/2 .


Comments/corrections/remarks/suggestions are -- as
always -- very welcome; please send them to the
maintainer (me) directly.

-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net