PCRA
Companion to Portfolio Construction and Risk Analysis

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PCRA: Companion to Portfolio Construction and Risk Analysis
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Man pages for PCRA
Companion to Portfolio Construction and Risk Analysis

barplotWtsA Barplot of a Set of Portfolio Weights
bootEfrontsBootstrapped Efficient Frontiers
chart.EfrontCreate Efficient Frontier
cleanOutliersClean Returns Outliers
crsp.returns8crsp.returns8
datFF3WFama-French Weekly 3-Factor Model
datFF4WFama-French-Carhart Weekly 4-Factor Model
divHHIHHI Based Diversification Index
ellipsesPlotPCRA.covfmOverlaid Correlations Ellipses Plots
factorsSPGMIfactorsSPGMI
FRBinterestRatesFederal Reserve Board Interest Rates
getPCRADataDownload CRSP and SPGMI Data
gfunds5gfunds5
invensysEPSEarnings per Share of Invensys
KRestKurtosis Estimator
levgLongShortLong Short Portfolio Leverage
mathEfrontEfficient Frontiers from Returns
mathEfrontCashRiskyMath Efficient Frontier: Cash and Risky Assets
mathEfrontRiskyEfficient Frontier of Risky Stocks
mathEfrontRiskyMuCovEfficient Frontier
mathGmvGlobal Minimum Variance Portfolio (GMV)
mathGmvMuCovGlobal Minimum Variance Portfolios From Mu and Cov
mathTportTangency Portfolio Weights
mathWtsEfrontRiskyEfficient Frontier Portfolio Weights Vectors
mathWtsEfrontRiskyMuCovEfficient Frontier Portfolio Weights Vectors
meanReturns4TypesFour Types of Mean Returns
opt.outputMvoPCRAOptimal Portfolio Weights and Performance
PCRA-packagePCRA: Companion to Portfolio Construction and Risk Analysis
plotLSandRobustSFMRobust and Least Square Single Factor Model (SFM) Fits
qqnormDatWindatqqnormDatWindat
retDDStock with Ticker DD
retEDSStock with Ticker EDS
retFNBStock with Ticker FNB
retKBHStock with Ticker KBH
retMERStock with Ticker MER
retOFGStock with Ticker OFG
retPSCStock with Ticker PSC
returnsCRSPxtsSelect CRSP Stocks Returns
retVHIStock with Ticker VHI
retWTSStock with Ticker WTS
selectCRSPandSPGMISelect and merge data from the stocksCRSP and factorsSPGMI...
SKestSkewness estimator
SP400IndustrialsSP400Industrials
SP425IndustrialsSP425Industrials
SP500SP500
SP500from1967to2007SP500from1967to2007
SPIndustrialsSPIndustrials
stocksCRSPstocksCRSP
stocksCRSPxtsSelect CRSP Stocks Returns
strategiesHedge Fund Strategies Returns
tsPlotMPLattice Multi-Panel Time Series Plots
turnOverPortfolio Turnover
winsorizeWinsorize Data
winsorMeanWinsorized Mean
PCRA documentation built on Aug. 30, 2023, 9:09 a.m.

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