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FRAPO (version 0.4-1)

Financial Risk Modelling and Portfolio Optimisation with R

Description

Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.

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Version

Install

install.packages('FRAPO')

Monthly Downloads

341

Version

0.4-1

License

GPL (>= 3)

Maintainer

Last Published

December 12th, 2016

Functions in FRAPO (0.4-1)

INDTRACK5

INDTRACK5: Nikkei 225 Index and Constituents
ESCBFX

ESCB FX Reference Rates
INDTRACK3

INDTRACK3: FTSE 100 Index and Constituents
BookEx

Utility functions for handling book examples
EuroStoxx50

EURO STOXX 50
FTSE100

FTSE 100
capser

Capping a series to bounds
INDTRACK4

INDTRACK4: S&P 100 Index and Constituents
INDTRACK2

INDTRACK2: DAX 100 Index and Constituents
INDTRACK1

INDTRACK1: Hang Seng Index and Constituents
NASDAQ

NASDAQ
MIBTEL

Milano Indice Borsa Telematica
INDTRACK6

INDTRACK6: S&P 500 Index and Constituents
PCDaR

Portfolio optimisation with conditional draw down at risk constraint
PAveDD

Portfolio optimisation with average draw down constraint
PERC

Equal risk contributed portfolios
mrc

Marginal Contribution to Risk
MultiAsset

Multi Asset Index Data
PGMV

Global Minimum Variance Portfolio
plot-methods

Methods for Function plot in Package graphics
PortSol-class

Class "PortSol"
PortCdd-class

Class "PortCdd"
PortDD-class

Class "PortDD"
returnconvert

Convert Returns from continuous to discrete and vice versa
PortAdd-class

Class "PortAdd"
PMinCDaR

Portfolio optimisation for minimum conditional draw down at risk
PMaxDD

Portfolio optimisation with maximum draw down constraint
PMTD

Minimum Tail Dependent Portfolio
PMD

Most Diversified Portfolio
PortMdd-class

Class "PortMdd"
trdsma

Simple Moving Average
trdwma

Weighted Moving Average
StockIndexAdj

Stock Index Data
tdc

Tail Dependence Coefficient
StockIndexAdjD

Stock Index Data
sqrm

Square root of a quadratic matrix
returnseries

Continuous and discrete returns
StockIndex

Stock Index Data
SP500

Standard & Poor's 500