FRAPO: Financial Risk Modelling and Portfolio Optimisation with R
Version 0.4-1

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.

AuthorBernhard Pfaff [aut, cre]
Date of publication2016-12-12 00:48:20
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 3)
Version0.4-1
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FRAPO")

Popular man pages

capser: Capping a series to bounds
FTSE100: FTSE 100
NASDAQ: NASDAQ
PERC: Equal risk contributed portfolios
PMTD: Minimum Tail Dependent Portfolio
PortSol-class: Class '"PortSol"'
tdc: Tail Dependence Coefficient
See all...

All man pages Function index File listing

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

Functions

BookEx Man page
DrawDowns Man page
DrawDowns,PortDD-method Man page
ESCBFX Man page
EuroStoxx50 Man page
FTSE100 Man page
INDTRACK1 Man page
INDTRACK2 Man page
INDTRACK3 Man page
INDTRACK4 Man page
INDTRACK5 Man page
INDTRACK6 Man page
MIBTEL Man page
MultiAsset Man page
NASDAQ Man page
PAveDD Man page Source code
PCDaR Man page Source code
PERC Man page Source code
PGMV Man page Source code
PMD Man page Source code
PMTD Man page Source code
PMaxDD Man page Source code
PMinCDaR Man page Source code
PortAdd-class Man page
PortCdd-class Man page
PortDD-class Man page
PortMdd-class Man page
PortSol-class Man page
SP500 Man page
Solution Man page
Solution,PortSol-method Man page
StockIndex Man page
StockIndexAdj Man page
StockIndexAdjD Man page
Weights Man page
Weights,PortSol-method Man page
capser Man page
capser,data.frame-method Man page
capser,matrix-method Man page
capser,mts-method Man page
capser,numeric-method Man page
capser,timeSeries-method Man page
capser,ts-method Man page
capser-methods Man page
cr Man page Source code
dr Man page Source code
editEx Man page Source code
listEx Man page Source code
mrc Man page Source code
onAttach Source code
plot Man page
plot,PortDD,missing-method Man page
plot,PortDD-method Man page
plot-methods Man page
returnconvert Man page
returnconvert,data.frame-method Man page
returnconvert,matrix-method Man page
returnconvert,mts-method Man page
returnconvert,numeric-method Man page
returnconvert,timeSeries-method Man page
returnconvert,ts-method Man page
returnconvert-methods Man page
returnseries Man page
returnseries,data.frame-method Man page
returnseries,matrix-method Man page
returnseries,mts-method Man page
returnseries,numeric-method Man page
returnseries,timeSeries-method Man page
returnseries,ts-method Man page
returnseries-methods Man page
rhow Man page Source code
runEx Man page Source code
saveEx Man page Source code
show,PortSol-method Man page
showEx Man page Source code
sqrm Man page Source code
tdc Man page Source code
trdbilson Man page
trdbilson,data.frame-method Man page
trdbilson,matrix-method Man page
trdbilson,mts-method Man page
trdbilson,numeric-method Man page
trdbilson,timeSeries-method Man page
trdbilson,ts-method Man page
trdbilson-methods Man page
trdbinary Man page
trdbinary,data.frame-method Man page
trdbinary,matrix-method Man page
trdbinary,mts-method Man page
trdbinary,numeric-method Man page
trdbinary,timeSeries-method Man page
trdbinary,ts-method Man page
trdbinary-methods Man page
trdes Man page
trdes,data.frame-method Man page
trdes,matrix-method Man page
trdes,mts-method Man page
trdes,numeric-method Man page
trdes,timeSeries-method Man page
trdes,ts-method Man page
trdes-methods Man page
trdhp Man page
trdhp,data.frame-method Man page
trdhp,matrix-method Man page
trdhp,mts-method Man page
trdhp,numeric-method Man page
trdhp,timeSeries-method Man page
trdhp,ts-method Man page
trdhp-methods Man page
trdsma Man page
trdsma,data.frame-method Man page
trdsma,matrix-method Man page
trdsma,mts-method Man page
trdsma,numeric-method Man page
trdsma,timeSeries-method Man page
trdsma,ts-method Man page
trdsma-methods Man page
trdwma Man page
trdwma,data.frame-method Man page
trdwma,matrix-method Man page
trdwma,mts-method Man page
trdwma,numeric-method Man page
trdwma,timeSeries-method Man page
trdwma,ts-method Man page
trdwma-methods Man page
update,PortSol-method Man page

Files

inst
inst/BookEx
inst/BookEx/C13R9.R
inst/BookEx/C14R6.R
inst/BookEx/C13R19.R
inst/BookEx/C9R1.R
inst/BookEx/C11R4.R
inst/BookEx/C13R18.R
inst/BookEx/C11R2.R
inst/BookEx/C13R4.R
inst/BookEx/C13R6.R
inst/BookEx/C14R8.R
inst/BookEx/C11R3.R
inst/BookEx/C10R6.R
inst/BookEx/C6R4.R
inst/BookEx/C8R1.R
inst/BookEx/C10R3.R
inst/BookEx/C12R3.R
inst/BookEx/C7R2.R
inst/BookEx/C14R3.R
inst/BookEx/C10R7.R
inst/BookEx/C13R15.R
inst/BookEx/C3R2.R
inst/BookEx/C6R3.R
inst/BookEx/C14R2.R
inst/BookEx/C10R9.R
inst/BookEx/C13R5.R
inst/BookEx/C14R1.R
inst/BookEx/C14R5.R
inst/BookEx/C6R2.R
inst/BookEx/C2R1.R
inst/BookEx/C3R1.R
inst/BookEx/C14R7.R
inst/BookEx/C14R4.R
inst/BookEx/C14S1.stan
inst/BookEx/C13R8.R
inst/BookEx/C11R5.R
inst/BookEx/C14R9.R
inst/BookEx/C10R1.R
inst/BookEx/C9R2.R
inst/BookEx/C12R1.R
inst/BookEx/C13R2.R
inst/BookEx/C12R10.R
inst/BookEx/C10R2.R
inst/BookEx/C12R5.R
inst/BookEx/C13R16.R
inst/BookEx/C13R12.R
inst/BookEx/C13R13.R
inst/BookEx/C13R10.R
inst/BookEx/C13R17.R
inst/BookEx/C10R5.R
inst/BookEx/C7R4.R
inst/BookEx/C12R7.R
inst/BookEx/C12R8.R
inst/BookEx/C11R1.R
inst/BookEx/C11R6.R
inst/BookEx/C6R5.R
inst/BookEx/C6R1.R
inst/BookEx/C7R3.R
inst/BookEx/C12R4.R
inst/BookEx/C13R1.R
inst/BookEx/C7R1.R
inst/BookEx/C12R9.R
inst/BookEx/C13R11.R
inst/BookEx/C10R4.R
inst/BookEx/C12R2.R
inst/BookEx/C10R10.R
inst/BookEx/C12R6.R
inst/BookEx/C10R8.R
inst/BookEx/C13R14.R
inst/BookEx/C13R7.R
inst/BookEx/C13R3.R
inst/CITATION
inst/BeasleyLicence
NAMESPACE
data
data/EuroStoxx50.rda
data/INDTRACK3.rda
data/INDTRACK5.rda
data/NASDAQ.rda
data/StockIndexAdjD.rda
data/INDTRACK1.rda
data/StockIndexAdj.rda
data/StockIndex.rda
data/ESCBFX.rda
data/SP500.rda
data/INDTRACK4.rda
data/FTSE100.rda
data/MultiAsset.rda
data/datalist
data/INDTRACK6.rda
data/INDTRACK2.rda
data/MIBTEL.rda
R
R/mrc.R
R/AllClasses.R
R/AllGenerics.R
R/trdwma.R
R/trdhp.R
R/capser.R
R/PGMV.R
R/returnseries.R
R/trdsma.R
R/PMTD.R
R/PMaxDD.R
R/methods-PortSol.R
R/methods-PortDD.R
R/trdbinary.R
R/PCDaR.R
R/trdes.R
R/PMD.R
R/tdc.R
R/PAveDD.R
R/BookEx.R
R/trdbilson.R
R/returnconvert.R
R/PERC.R
R/sqrm.R
R/PMinCDaR.R
R/DivRatios.R
R/zzz.R
MD5
DESCRIPTION
man
man/MIBTEL.Rd
man/PortAdd-class.Rd
man/PortMdd-class.Rd
man/MultiAsset.Rd
man/trdhp.Rd
man/INDTRACK5.Rd
man/PortCdd-class.Rd
man/plot-methods.Rd
man/BookEx.Rd
man/DivRatios.Rd
man/sqrm.Rd
man/ESCBFX.Rd
man/returnconvert.Rd
man/SP500.Rd
man/StockIndexAdjD.Rd
man/INDTRACK1.Rd
man/PCDaR.Rd
man/INDTRACK2.Rd
man/PortDD-class.Rd
man/trdbinary.Rd
man/EuroStoxx50.Rd
man/INDTRACK3.Rd
man/PMinCDaR.Rd
man/PMaxDD.Rd
man/PortSol-class.Rd
man/capser.Rd
man/INDTRACK4.Rd
man/returnseries.Rd
man/NASDAQ.Rd
man/PAveDD.Rd
man/trdwma.Rd
man/PMTD.Rd
man/trdbilson.Rd
man/trdsma.Rd
man/mrc.Rd
man/PERC.Rd
man/trdes.Rd
man/StockIndexAdj.Rd
man/PMD.Rd
man/INDTRACK6.Rd
man/tdc.Rd
man/StockIndex.Rd
man/FTSE100.Rd
man/PGMV.Rd
FRAPO documentation built on May 19, 2017, 6:16 p.m.

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