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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
Version
0.4-1
0.4-0
0.3-8
0.3-7
0.3-6
Install
install.packages('FRAPO')
Monthly Downloads
332
Version
0.4-1
License
GPL (>= 3)
Maintainer
Bernhard Pfaff
Last Published
December 12th, 2016
Functions in FRAPO (0.4-1)
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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