FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

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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.

Author
Bernhard Pfaff [aut, cre]
Date of publication
2016-08-23 23:15:51
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 3)
Version
0.4-0

View on CRAN

Man pages

BookEx
Utility functions for handling book examples
capser
Capping a series to bounds
DivRatios
Diversification Measures
ESCBFX
ESCB FX Reference Rates
EuroStoxx50
EURO STOXX 50
FTSE100
FTSE 100
INDTRACK1
INDTRACK1: Hang Seng Index and Constituents
INDTRACK2
INDTRACK2: DAX 100 Index and Constituents
INDTRACK3
INDTRACK3: FTSE 100 Index and Constituents
INDTRACK4
INDTRACK4: S&P 100 Index and Constituents
INDTRACK5
INDTRACK5: Nikkei 225 Index and Constituents
INDTRACK6
INDTRACK6: S&P 500 Index and Constituents
MIBTEL
Milano Indice Borsa Telematica
mrc
Marginal Contribution to Risk
MultiAsset
Multi Asset Index Data
NASDAQ
NASDAQ
PAveDD
Portfolio optimisation with average draw down constraint
PCDaR
Portfolio optimisation with conditional draw down at risk...
PERC
Equal risk contributed portfolios
PGMV
Global Minimum Variance Portfolio
plot-methods
Methods for Function 'plot' in Package 'graphics'
PMaxDD
Portfolio optimisation with maximum draw down constraint
PMD
Most Diversified Portfolio
PMinCDaR
Portfolio optimisation for minimum conditional draw down at...
PMTD
Minimum Tail Dependent Portfolio
PortAdd-class
Class '"PortAdd"'
PortCdd-class
Class '"PortCdd"'
PortDD-class
Class '"PortDD"'
PortMdd-class
Class '"PortMdd"'
PortSol-class
Class '"PortSol"'
returnconvert
Convert Returns from continuous to discrete and vice versa
returnseries
Continuous and discrete returns
SP500
Standard & Poor's 500
sqrm
Square root of a quadratic matrix
StockIndex
Stock Index Data
StockIndexAdj
Stock Index Data
StockIndexAdjD
Stock Index Data
tdc
Tail Dependence Coefficient
trdbilson
Bilson Trend
trdbinary
Binary Trend
trdes
Exponentially Smoothed Trend
trdhp
Hodrick-Prescott Filter
trdsma
Simple Moving Average
trdwma
Weighted Moving Average

Files in this package

FRAPO
FRAPO/inst
FRAPO/inst/BookEx
FRAPO/inst/BookEx/C13R9.R
FRAPO/inst/BookEx/C14R6.R
FRAPO/inst/BookEx/C13R19.R
FRAPO/inst/BookEx/C9R1.R
FRAPO/inst/BookEx/C11R4.R
FRAPO/inst/BookEx/C13R18.R
FRAPO/inst/BookEx/C11R2.R
FRAPO/inst/BookEx/C13R4.R
FRAPO/inst/BookEx/C13R6.R
FRAPO/inst/BookEx/C14R8.R
FRAPO/inst/BookEx/C11R3.R
FRAPO/inst/BookEx/C10R6.R
FRAPO/inst/BookEx/C6R4.R
FRAPO/inst/BookEx/C8R1.R
FRAPO/inst/BookEx/C10R3.R
FRAPO/inst/BookEx/C12R3.R
FRAPO/inst/BookEx/C7R2.R
FRAPO/inst/BookEx/C14R3.R
FRAPO/inst/BookEx/C10R7.R
FRAPO/inst/BookEx/C13R15.R
FRAPO/inst/BookEx/C3R2.R
FRAPO/inst/BookEx/C6R3.R
FRAPO/inst/BookEx/C14R2.R
FRAPO/inst/BookEx/C10R9.R
FRAPO/inst/BookEx/C13R5.R
FRAPO/inst/BookEx/C14R1.R
FRAPO/inst/BookEx/C14R5.R
FRAPO/inst/BookEx/C6R2.R
FRAPO/inst/BookEx/C2R1.R
FRAPO/inst/BookEx/C3R1.R
FRAPO/inst/BookEx/C14R7.R
FRAPO/inst/BookEx/C14R4.R
FRAPO/inst/BookEx/C14S1.stan
FRAPO/inst/BookEx/C13R8.R
FRAPO/inst/BookEx/C11R5.R
FRAPO/inst/BookEx/C14R9.R
FRAPO/inst/BookEx/C10R1.R
FRAPO/inst/BookEx/C9R2.R
FRAPO/inst/BookEx/C12R1.R
FRAPO/inst/BookEx/C13R2.R
FRAPO/inst/BookEx/C12R10.R
FRAPO/inst/BookEx/C10R2.R
FRAPO/inst/BookEx/C12R5.R
FRAPO/inst/BookEx/C13R16.R
FRAPO/inst/BookEx/C13R12.R
FRAPO/inst/BookEx/C13R13.R
FRAPO/inst/BookEx/C13R10.R
FRAPO/inst/BookEx/C13R17.R
FRAPO/inst/BookEx/C10R5.R
FRAPO/inst/BookEx/C7R4.R
FRAPO/inst/BookEx/C12R7.R
FRAPO/inst/BookEx/C12R8.R
FRAPO/inst/BookEx/C11R1.R
FRAPO/inst/BookEx/C11R6.R
FRAPO/inst/BookEx/C6R5.R
FRAPO/inst/BookEx/C6R1.R
FRAPO/inst/BookEx/C7R3.R
FRAPO/inst/BookEx/C12R4.R
FRAPO/inst/BookEx/C13R1.R
FRAPO/inst/BookEx/C7R1.R
FRAPO/inst/BookEx/C12R9.R
FRAPO/inst/BookEx/C13R11.R
FRAPO/inst/BookEx/C10R4.R
FRAPO/inst/BookEx/C12R2.R
FRAPO/inst/BookEx/C10R10.R
FRAPO/inst/BookEx/C12R6.R
FRAPO/inst/BookEx/C10R8.R
FRAPO/inst/BookEx/C13R14.R
FRAPO/inst/BookEx/C13R7.R
FRAPO/inst/BookEx/C13R3.R
FRAPO/inst/CITATION
FRAPO/inst/BeasleyLicence
FRAPO/NAMESPACE
FRAPO/data
FRAPO/data/EuroStoxx50.rda
FRAPO/data/INDTRACK3.rda
FRAPO/data/INDTRACK5.rda
FRAPO/data/NASDAQ.rda
FRAPO/data/StockIndexAdjD.rda
FRAPO/data/INDTRACK1.rda
FRAPO/data/StockIndexAdj.rda
FRAPO/data/StockIndex.rda
FRAPO/data/ESCBFX.rda
FRAPO/data/SP500.rda
FRAPO/data/INDTRACK4.rda
FRAPO/data/FTSE100.rda
FRAPO/data/MultiAsset.rda
FRAPO/data/datalist
FRAPO/data/INDTRACK6.rda
FRAPO/data/INDTRACK2.rda
FRAPO/data/MIBTEL.rda
FRAPO/R
FRAPO/R/mrc.R
FRAPO/R/AllClasses.R
FRAPO/R/AllGenerics.R
FRAPO/R/trdwma.R
FRAPO/R/trdhp.R
FRAPO/R/capser.R
FRAPO/R/PGMV.R
FRAPO/R/returnseries.R
FRAPO/R/trdsma.R
FRAPO/R/PMTD.R
FRAPO/R/PMaxDD.R
FRAPO/R/methods-PortSol.R
FRAPO/R/methods-PortDD.R
FRAPO/R/trdbinary.R
FRAPO/R/PCDaR.R
FRAPO/R/trdes.R
FRAPO/R/PMD.R
FRAPO/R/tdc.R
FRAPO/R/PAveDD.R
FRAPO/R/BookEx.R
FRAPO/R/trdbilson.R
FRAPO/R/returnconvert.R
FRAPO/R/PERC.R
FRAPO/R/sqrm.R
FRAPO/R/PMinCDaR.R
FRAPO/R/DivRatios.R
FRAPO/R/zzz.R
FRAPO/MD5
FRAPO/DESCRIPTION
FRAPO/man
FRAPO/man/MIBTEL.Rd
FRAPO/man/PortAdd-class.Rd
FRAPO/man/PortMdd-class.Rd
FRAPO/man/MultiAsset.Rd
FRAPO/man/trdhp.Rd
FRAPO/man/INDTRACK5.Rd
FRAPO/man/PortCdd-class.Rd
FRAPO/man/plot-methods.Rd
FRAPO/man/BookEx.Rd
FRAPO/man/DivRatios.Rd
FRAPO/man/sqrm.Rd
FRAPO/man/ESCBFX.Rd
FRAPO/man/returnconvert.Rd
FRAPO/man/SP500.Rd
FRAPO/man/StockIndexAdjD.Rd
FRAPO/man/INDTRACK1.Rd
FRAPO/man/PCDaR.Rd
FRAPO/man/INDTRACK2.Rd
FRAPO/man/PortDD-class.Rd
FRAPO/man/trdbinary.Rd
FRAPO/man/EuroStoxx50.Rd
FRAPO/man/INDTRACK3.Rd
FRAPO/man/PMinCDaR.Rd
FRAPO/man/PMaxDD.Rd
FRAPO/man/PortSol-class.Rd
FRAPO/man/capser.Rd
FRAPO/man/INDTRACK4.Rd
FRAPO/man/returnseries.Rd
FRAPO/man/NASDAQ.Rd
FRAPO/man/PAveDD.Rd
FRAPO/man/trdwma.Rd
FRAPO/man/PMTD.Rd
FRAPO/man/trdbilson.Rd
FRAPO/man/trdsma.Rd
FRAPO/man/mrc.Rd
FRAPO/man/PERC.Rd
FRAPO/man/trdes.Rd
FRAPO/man/StockIndexAdj.Rd
FRAPO/man/PMD.Rd
FRAPO/man/INDTRACK6.Rd
FRAPO/man/tdc.Rd
FRAPO/man/StockIndex.Rd
FRAPO/man/FTSE100.Rd
FRAPO/man/PGMV.Rd