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PCRA: Companion to Portfolio Construction and Risk Analysis
A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.
Getting started
Browse package contents
Package details |
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| Author | Doug Martin [cre, aut], Alexios Galanos [ctb], Kirk Li [aut, ctb], Jon Spinney [ctb], Thomas Philips [ctb] |
| Maintainer | Doug Martin <martinrd3d@gmail.com> |
| License | GPL-2 |
| Version | 1.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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