Type: Package
Package: rolloptim
Title: Rolling Optimizations
Version: 1.0.0
Authors@R: 
    person("Jason", "Foster", , "jason.j.foster@gmail.com", role = c("aut", "cre"))
Description: Analytical computation of rolling optimization for
    time-series data. The 'rolloptim' package solves constrained quadratic
    and linear programs in closed form by applying Lagrangian multipliers
    and the Karush-Kuhn-Tucker conditions (Kuhn and Tucker, 1951,
    <doi:10.1525/9780520411586-036>) to perform mean-variance portfolio
    optimization (Markowitz, 1952,
    <doi:10.1111/j.1540-6261.1952.tb01525.x>) over rolling windows. For
    each window, the analytical solution computes the optimal weights that
    minimize variance, maximize expected return, minimize residual sum of
    squares, or maximize quadratic utility, subject to a total-weight
    equality constraint and box bounds on each weight. Use cases include
    mean-variance portfolio optimization, expected-return maximization,
    and constrained regression. The package supports rolling optimizations
    with constraints via the total, lower, and upper arguments. The
    implementation accepts rolling moments computed via the 'roll' package
    and uses 'RcppArmadillo' for linear algebra, with parallelism across
    windows provided by 'RcppParallel'.
License: GPL (>= 2)
URL: https://github.com/jasonjfoster/rolloptim
BugReports: https://github.com/jasonjfoster/rolloptim/issues
Depends: R (>= 3.5.0)
Imports: Rcpp, RcppParallel
Suggests: covr, CVXR, ROI, ROI.plugin.glpk, ROI.plugin.qpoases,
        ROI.plugin.quadprog, roll (>= 1.1.7), testthat, zoo
LinkingTo: Rcpp, RcppArmadillo, RcppParallel
Config/roxygen2/old_usage: TRUE
Config/roxygen2/version: 8.0.0
Encoding: UTF-8
SystemRequirements: GNU make
NeedsCompilation: yes
Packaged: 2026-07-04 16:03:16 UTC; jason
Author: Jason Foster [aut, cre]
Maintainer: Jason Foster <jason.j.foster@gmail.com>
Repository: CRAN
Date/Publication: 2026-07-11 08:30:08 UTC
Built: R 4.5.2; x86_64-apple-darwin20; 2026-07-11 09:50:36 UTC; unix
Archs: rolloptim.so.dSYM
