Files in PCRA
Companion to Portfolio Construction and Risk Analysis
MD5
NAMESPACE
DESCRIPTION
R/ewmaMeanVol.R
R/mathEfrontRiskyMuCov.R
R/PCRAData.R
R/Utils.R
R/stocksCRSPxts.R
R/mathEfrontRisky.R
R/buildPortfolios.R
R/to_weekly.R
R/KRest.R
R/stocksCRSPmonthly.R
R/mathWtsEfrontRiskyMuCov.R
R/PCRA-package.R
R/SP425Industrials.R
R/mathGmv.R
R/mathWtsEfrontRisky.R
R/winsorize.R
R/runPortfolioBacktest.R
R/ellipsesPlotPCRA.covfm.R
R/levgLongShort.R
R/CboeOptionStrategies.R
R/SP500data.R
R/data.R
R/chart.Efront.R
R/meanReturns4Types.R
R/winsorMean.R
R/stocksCRSPdailyweekly.R
R/barplotWts.R
R/divHHI.R
R/opt.outputMvoPCRA.R
R/mathGmvMuCov.R
R/minVarRiskyLO.R
R/bootEfronts.R
R/mathTport.R
R/SPIndustrials.R
R/qqnormDatWindat.R
R/to_monthly.R
R/SP500.R
R/updateDevPkg.R
R/SKest.R
R/ConferenceBoardETI.R
R/plotLSandRobustSFM.R
R/minVarCashRisky.R
R/USTreasuryTradeweb.R
R/cleanOutliers.R
R/mathEfrontCashRisky.R
R/SP500from1967to2007.R
R/turnover.R
R/runMultipleBacktests.R
R/transferCoef.R
R/plotLSandHuberRobustSFM.R
R/returnsCRSPxts.R
R/selectCRSPandSPGMI.R
R/ShortDurationCredit.R
R/factorsSPGMI.R
R/SP400Industrials.R
R/psiHuber.R
R/tsPlotMP.R
R/CRSPLiquidMktCapGrpsCnts.R
R/mathEfront.R
inst/doc/PCRAReproducibility.pdf.asis
inst/doc/CRSPStocksAndSPGMIFactorsInPCRA.pdf
inst/doc/PCRAPackageAndDataOverview.pdf
inst/doc/PCRAPackageAndDataOverview.pdf.asis
inst/doc/PCRAReproducibility.pdf
inst/doc/CRSPStocksAndSPGMIFactorsInPCRA.pdf.asis
inst/tests/test-data.r
inst/tests/test-functions.r
demo/Ch4_CovarianceMatrices_demo.R
demo/Ch2_Foundations_demo.R
demo/RobustStatisticsForPortfoliosJPM2023.R
demo/IntroductionCRSPstocksAndSPGMIfactors.R
demo/00Index
demo/Ch5_Portfolio_Constraints_and_Penalties_demo.R
demo/Ch3_ModelingAssetReturns_demo.R
build/vignette.rds
vignettes/PCRAReproducibility.pdf.asis
vignettes/PCRAPackageAndDataOverview.pdf.asis
vignettes/CRSPStocksAndSPGMIFactorsInPCRA.pdf.asis
data/retWTS.rda
data/invensysEPS.rda
data/retOFG.rda
data/retKBH.rda
data/retPSC.rda
data/retMER.rda
data/ShortDurationCredit.rda
data/FRBinterestRates.rda
data/MarketData.rda
data/SP400Industrials.rda
data/HFstrategies.rda
data/stocksCRSPmonthly.rda
data/retFNB.rda
data/gfunds5.rda
data/CboeOptionStrategies.rda
data/datFF4W.rda
data/BXMdata.rda
data/datFF3W.rda
data/factorsSPGMI.rda
data/retEDS.rda
data/USTreasuryTradeweb.rda
data/retDD.rda
data/SP500from1967to2007.rda
data/crsp.returns8.rda
data/retVHI.rda
data/CRSPLiquidMktCapGrpsCnts.rda
data/SPIndustrials.rda
data/ConferenceBoardETI.rda
data/SP425Industrials.rda
data/SP500data.rda
data/SP500.rda
man/chart.Efront.Rd
man/to_monthly.Rd
man/MarketData.Rd
man/barplotWts.Rd
man/SPIndustrials.Rd
man/datFF3W.Rd
man/retPSC.Rd
man/CRSPLiquidMktCapGrpsCnts.Rd
man/crsp.returns8.Rd
man/mathEfrontRiskyMuCov.Rd
man/winsorMean.Rd
man/retVHI.Rd
man/ConferenceBoardETI.Rd
man/psiHuber.Rd
man/SP400Industrials.Rd
man/abbreviate_name.Rd
man/meanReturns4Types.Rd
man/SP500data.Rd
man/mathWtsEfrontRiskyMuCov.Rd
man/factorsSPGMI.Rd
man/invensysEPS.Rd
man/USTreasuryTradeweb.Rd
man/BXMdata.Rd
man/tsPlotMP.Rd
man/buildPortfolios.Rd
man/stocksCRSPxts.Rd
man/SP425Industrials.Rd
man/mathEfront.Rd
man/transferCoef.Rd
man/minVarCashRisky.Rd
man/bootEfronts.Rd
man/ShortDurationCredit.Rd
man/stocksCRSPdaily.Rd
man/gfunds5.Rd
man/plotLSandRobustSFM.Rd
man/minVarRiskyLO.Rd
man/retWTS.Rd
man/CboeOptionStrategies.Rd
man/mathWtsEfrontRisky.Rd
man/plotLSandHuberRobustSFM.Rd
man/turnOver.Rd
man/FRBinterestRates.Rd
man/ellipsesPlotPCRA.covfm.Rd
man/retOFG.Rd
man/mathEfrontRisky.Rd
man/levgLongShort.Rd
man/selectCRSPandSPGMI.Rd
man/PCRA-package.Rd
man/retDD.Rd
man/SKest.Rd
man/mathTport.Rd
man/returnsCRSPxts.Rd
man/retKBH.Rd
man/divHHI.Rd
man/qqnormDatWindat.Rd
man/mathGmv.Rd
man/retMER.Rd
man/SP500.Rd
man/runPortfolioBacktest.Rd
man/SP500from1967to2007.Rd
man/runMultipleBacktests.Rd
man/stocksCRSPmonthly.Rd
man/cleanOutliers.Rd
man/getPCRAData.Rd
man/stocksCRSPweekly.Rd
man/retEDS.Rd
man/winsorize.Rd
man/KRest.Rd
man/opt.outputMvoPCRA.Rd
man/update_dev_pkg.Rd
man/retFNB.Rd
man/HFstrategies.Rd
man/datFF4W.Rd
man/to_weekly.Rd
man/mathEfrontCashRisky.Rd
man/mathGmvMuCov.Rd
man/ewmaMeanVol.Rd
