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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

434

Version

0.4-1

License

GPL (>= 3)

Maintainer

Bernhard Pfaff

Last Published

December 12th, 2016

Functions in FRAPO (0.4-1)

INDTRACK5: Nikkei 225 Index and Constituents

ESCB FX Reference Rates

INDTRACK3: FTSE 100 Index and Constituents

Utility functions for handling book examples

Capping a series to bounds

INDTRACK4: S&P 100 Index and Constituents

INDTRACK2: DAX 100 Index and Constituents

INDTRACK1: Hang Seng Index and Constituents

Milano Indice Borsa Telematica

INDTRACK6: S&P 500 Index and Constituents

Portfolio optimisation with conditional draw down at risk constraint

Portfolio optimisation with average draw down constraint

Equal risk contributed portfolios

Marginal Contribution to Risk

Multi Asset Index Data

Global Minimum Variance Portfolio

Methods for Function plot in Package graphics

Class "PortSol"

Class "PortCdd"

Class "PortDD"

Convert Returns from continuous to discrete and vice versa

Class "PortAdd"

Portfolio optimisation for minimum conditional draw down at risk

Portfolio optimisation with maximum draw down constraint

Minimum Tail Dependent Portfolio

Most Diversified Portfolio

Class "PortMdd"

Simple Moving Average

Weighted Moving Average

Stock Index Data

Tail Dependence Coefficient

Stock Index Data

Square root of a quadratic matrix

Continuous and discrete returns

Stock Index Data

Standard & Poor's 500

Diversification Measures

Hodrick-Prescott Filter

Exponentially Smoothed Trend