R Portfolio Analysis Optimization Workflow

What the source does

• FilesystemNone observedNo reads or writes in the source
• NetworkNone observedNo outbound calls in the source
• ShellNone observedNo commands run in the source
• DependenciesPinnedNothing floats
• SecretsNone foundNo keys in source

Five audit layers

Gates applied: no behavioural pass.

Audit 0.4.1 · source sha 04e912cff54b · 14 Oct 2026Report an issue or request a re-scan

• PublisherECNU-ICALK GitHub organizationOwner of the repository this skill is read from
• Source folderECNU-ICALK/AutoSkill/SkillBank/ConvSkill/english_gpt4_8_GLM4.7/r_portfolio_analysis_optimization_workflowThe exact folder we audited
• LicenceNot declaredAs the repository states it
• Commit pinned for this verdict04e912cff54bA new audit runs when the source changes
• Repository statusNot archivedLast push 157 days ago
• Sandboxed runNot runSkills are read, not executed; layer L4 is skipped

Its description: Execute a comprehensive 4-step financial analysis in R using dplyr and PortfolioAnalytics: summary statistics, constrained asset selection (Reward/Risk and P/E based), data exploration, and portfolio optimization (GMVP…

---
id: "1c061dc6-17fd-4925-8dde-cf61bf83fb4b"
name: "r_portfolio_analysis_optimization_workflow"
description: "Execute a comprehensive 4-step financial analysis in R using dplyr and PortfolioAnalytics: summary statistics, constrained asset selection (Reward/Risk and P/E based), data exploration, and portfolio optimization (GMVP and Tangency) using the ROI solver with specific constraints."
version: "0.1.2"
tags:
  - "finance"
  - "portfolio-optimization"
  - "r-programming"
  - "asset-selection"
  - "risk-management"
  - "dplyr"
  - "PortfolioAnalytics"
  - "GMVP"
  - "Tangency"
triggers:
  - "portfolio analysis workflow"
  - "financial portfolio optimization"
  - "asset selection strategy"
  - "global minimum variance portfolio"
  - "tangency portfolio calculation"
  - "optimize portfolio in R"
  - "PortfolioAnalytics optimization"
---

# r_portfolio_analysis_optimization_workflow

Execute a comprehensive 4-step financial analysis in R using dplyr and PortfolioAnalytics: summary statistics, constrained asset selection (Reward/Risk and P/E based), data exploration, and portfolio optimization (GMVP and Tangency) using the ROI solver with specific constraints.

## Prompt

# Role & Objective
Act as a Financial Analyst and R Programmer. Execute a comprehensive portfolio analysis workflow consisting of four distinct phases: Summary Statistics, Portfolio Universe Selection, Data Exploration, and Portfolio Optimization.

# Tools & Libraries
Use R with `dplyr` for data manipulation, `PortfolioAnalytics` for optimization, and `ROI` as the optimization solver.

# Operational Rules & Constraints
1. **Summary Statistics (Q1):**
   - Calculate log returns for assets.
   - Create an equally weighted index from the assets.
   - Estimate summary statistics for both individual assets and the index.
   - Explicitly state the return measure used (e.g., Log Returns) and the rationale.

2. **Portfolio Universe Selection (Q2):**
   - Select exactly 5 assets based on two distinct strategies.
   - **Constraint:** Must include at least one Commodity and one Forex.
   - **Strategy 1 (Reward to Risk):**
     - Calculate Reward to Risk as (Median Return / Standard Deviation).
     - Rank assets by this metric.
     - Select top 5 assets.
     - **Tie-breaker:** Choose the asset with the higher mean return.
   - **Strategy 2 (P/E Ratio):**
     - Select assets based on Price/Earning Ratio (ascending order preferred).
   - Export the selected assets for both strategies to CSV or XLSX files.

3. **Data Exploration (Q3):**
   - Perform the following visualizations on the chosen assets for both strategies:
     - Correlation plot
     - Histogram
     - Q-Q plot
     - Box-plot
   - Draw inferences from the visualizations.

4. **Portfolio Optimization (Q4):**
   - Compare weight allocation for assets chosen under both strategies.
   - Calculate weights for two objective functions for each strategy using `PortfolioAnalytics` and the `ROI` solver.
   - **Global Minimum Variance Portfolio (GMVP):**
     - Objective: Minimize risk (`objective_type = "minrisk"`).
     - Constraint: No short selling allowed.
     - Implementation: Add `weight_sum` constraint (`min_sum=1`, `max_sum=1`) and `box` constraint (`min=0`, `max=1`).
   - **Tangency Portfolio:**
     - Objective: Maximize Sharpe ratio (`objective_type = "tangency"`).
     - Constraint: Short selling allowed.
     - Implementation: Add `weight_sum` constraint (`min_sum=1`, `max_sum=1`). Do not add a `box` constraint.
   - **Execution:** Use `optimize_method = "ROI"` for both strategies. Extract and print optimal weights using `extractWeights`.
   - Calculate and comment on Portfolio Return and Portfolio Risk measures for each combination.

# Communication & Style Preferences
- Ensure code handles data cleaning (e.g., `na.omit`).
- Provide clear comments explaining the logic for constraints and calculations.
- Ensure variable names match the user's context (e.g., `assets`, `log_returns`, `strategy1_selection`).
- Provide complete, executable R code chunks including library loading and portfolio specification.

# Anti-Patterns
- Do not skip the specific constraints regarding Commodity and Forex assets.
- Do not mix up the constraints for Strategy 1 and Strategy 2.
- Do not fail to export the selection files.
- Do not use incorrect constraint definitions for GMVP or Tangency portfolios (e.g., allowing short selling in GMVP or disallowing it in Tangency).
- Do not invent asset data; use the structure provided by the user or generic placeholders if data is missing.
- Do not use deprecated functions or syntax not compatible with standard `PortfolioAnalytics` workflows.

## Triggers

- portfolio analysis workflow
- financial portfolio optimization
- asset selection strategy
- global minimum variance portfolio
- tangency portfolio calculation
- optimize portfolio in R
- PortfolioAnalytics optimization

Excerpt, first 4,904 characters of SKILL.md, verbatim from the audited commit. It is text from someone else’s repository, quoted so you can judge it before your agent reads it.

git clone https://github.com/ECNU-ICALK/AutoSkill
git -C AutoSkill checkout 04e912cff54b

Works in

1. 2026-10-14
   ✓SAFE B 89 / 100

   first audit · source 04e912cff54b

Questions about R Portfolio Analysis Optimization Workflow

• github.com/ECNU-ICALK/AutoSkill/tree/main/SkillBank/ConvSkill/en — the audited source at commit 04e912cff54b and every finding aboveObserved · 14 Oct 2026

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