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RelValAnalysis (version 1.0)

Relative Value Analysis

Description

Classes and functions for analyzing the performance of portfolios relative to a benchmark.

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Version

Install

install.packages('RelValAnalysis')

Monthly Downloads

8

Version

1.0

License

GPL-2 | GPL-3

Maintainer

Ting-Kam Leonard Wong

Last Published

June 26th, 2014

Functions in RelValAnalysis (1.0)

plot.toymkt

Plotting Toy Market Objects
DiversityPortfolio

Diversity-weighted Portfolio
fgp

Functionally Generated Portfolio Objects
GetGroupWeight

Computing First and Second Level Portfolio Weights
RenyiEntropy

Renyi Entropy
AtlasModel

Atlas Model
Invest

Investing in a Toy Market
GeometricMean

Geometric Mean
GetWeight

Computing Portfolio Weights from a Weight Function
SimMarketModel

Simulating a Market Model
EntropyPortfolio

Entropy-weighted Portfolio
Diversity

Diversity
applestarbucks

Monthly Stock Prices of Apple and Starbucks from Jan 1994 to Apr 2012
FreeEnergy

Free Energy
ShannonEntropy

Shannon Entropy
CapDistSlope

Slope of a Capital Distribution Curve
RelativeEntropy

Relative Entropy
EnergyEntropyDecomp

Energy-entropy Decomposition
marketmodel

Market Model Objects
FernholzDecomp

Fernholz's Decomposition for a Buy-and-hold Toy Market
RelValAnalysis-package

The RelValAnalysis Package
toymkt

Toy Market Objects
plot.capdist

Plotting Captial Distribution Objects
print.fgp

Printing Functionally Generated Portfolio Objects
GetLambdaWeight

Portfolio Weights of the Lambda-strategy
print.toymkt

Printing Toy Market Object
VolStabModel

Volatility-Stabilized Model
print.marketmodel

Printing Market Model Object
capdist

Captial-distribution Objects
ParetoCapDist

Generating a Pareto Capital Distribution
ConstantPortfolio

Constant-weighted Portfolio
GetNewLambdaWeight

Portfolio Weights of the Lambda-strategy
EEControl

Control Term in the Energy-entropy Decomposition
print.capdist

Printing Capital Distribution Objects