PerformanceAnalytics: Econometric tools for performance and risk analysis
Version 1.4.3541

Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

Package details

AuthorBrian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb]
Date of publication2014-09-16 09:47:58
MaintainerBrian G. Peterson <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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PerformanceAnalytics documentation built on May 29, 2017, 6:59 p.m.