PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Version 1.5.2

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], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb]
Date of publication2018-03-02 17:06:04 UTC
MaintainerBrian G. Peterson <[email protected]>
LicenseGPL-2 | GPL-3
Version1.5.2
URL https://github.com/braverock/PerformanceAnalytics
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("PerformanceAnalytics")

Try the PerformanceAnalytics package in your browser

Any scripts or data that you put into this service are public.

PerformanceAnalytics documentation built on March 18, 2018, 1:51 p.m.