r packages worth a look

Covariate Assisted Principal (CAP) Regression for Covariance Matrix Outcomes (cap)Performs Covariate Assisted Principal (CAP) Regression for covariance matrix outcomes. The method identifies the optimal projection direction which max …

Factor-Based Portfolio Sorts (portsort)Designed to aid both academic researchers and asset managers in conducting factor based portfolio sorts. Provides functionality to sort assets into por …

General Purpose Optimization in R using C++ (roptim)Perform general purpose optimizations in R using C++. A unified wrapper interface is provided to call C functions of the five optimization algorithms ( …

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