Functions for the practical management of financial portfolios: backtesting investment and trading strategies, computing profit-and-loss and returns, analysing trades, reporting, and more.
Enrico Schumann <es@enricoschumann.net>
PMwR provides a small set of reliable, efficient and convenient tools that help in processing and analysing trade/portfolio data. The Manual provides all the details; it is available from http://enricoschumann.net/PMwR/. Examples and descriptions of new features are provided at http://enricoschumann.net/notes/PMwR/.
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")
Schumann, E. (2023) Portfolio Management with R. http://enricoschumann.net/PMwR/
Schumann, E. (2022) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual