RelValAnalysis: Relative Value Analysis

Classes and functions for analyzing the performance of portfolios relative to a benchmark.

AuthorTing-Kam Leonard Wong [aut, cre]
Date of publication2014-06-26 07:40:05
MaintainerTing-Kam Leonard Wong <wongting@uw.edu>
LicenseGPL-2 | GPL-3
Version1.0

View on CRAN

Man pages

applestarbucks: Monthly Stock Prices of Apple and Starbucks from Jan 1994 to...

AtlasModel: Atlas Model

capdist: Captial-distribution Objects

CapDistSlope: Slope of a Capital Distribution Curve

ConstantPortfolio: Constant-weighted Portfolio

Diversity: Diversity

DiversityPortfolio: Diversity-weighted Portfolio

EEControl: Control Term in the Energy-entropy Decomposition

EnergyEntropyDecomp: Energy-entropy Decomposition

EntropyPortfolio: Entropy-weighted Portfolio

FernholzDecomp: Fernholz's Decomposition for a Buy-and-hold Toy Market

fgp: Functionally Generated Portfolio Objects

FreeEnergy: Free Energy

GeometricMean: Geometric Mean

GetGroupWeight: Computing First and Second Level Portfolio Weights

GetLambdaWeight: Portfolio Weights of the Lambda-strategy

GetNewLambdaWeight: Portfolio Weights of the Lambda-strategy

GetWeight: Computing Portfolio Weights from a Weight Function

Invest: Investing in a Toy Market

marketmodel: Market Model Objects

ParetoCapDist: Generating a Pareto Capital Distribution

plot.capdist: Plotting Captial Distribution Objects

plot.toymkt: Plotting Toy Market Objects

print.capdist: Printing Capital Distribution Objects

print.fgp: Printing Functionally Generated Portfolio Objects

print.marketmodel: Printing Market Model Object

print.toymkt: Printing Toy Market Object

RelativeEntropy: Relative Entropy

RelValAnalysis: The RelValAnalysis Package

RenyiEntropy: Renyi Entropy

ShannonEntropy: Shannon Entropy

SimMarketModel: Simulating a Market Model

toymkt: Toy Market Objects

VolStabModel: Volatility-Stabilized Model

Functions

applestarbucks Man page
AtlasModel Man page
capdist Man page
CapDistSlope Man page
ConstantPortfolio Man page
Diversity Man page
DiversityPortfolio Man page
EEControl Man page
EnergyEntropyDecomp Man page
EntropyPortfolio Man page
FernholzDecomp Man page
fgp Man page
FreeEnergy Man page
GeometricMean Man page
GetGroupWeight Man page
GetLambdaWeight Man page
GetNewLambdaWeight Man page
GetWeight Man page
Invest Man page
marketmodel Man page
ParetoCapDist Man page
plot.capdist Man page
plot.toymkt Man page
print.capdist Man page
print.fgp Man page
print.marketmodel Man page
print.toymkt Man page
RelativeEntropy Man page
RelValAnalysis Man page
RelValAnalysis-package Man page
RenyiEntropy Man page
ShannonEntropy Man page
SimMarketModel Man page
toymkt Man page
toymkt.default Man page
VolStabModel Man page

Files

RelValAnalysis
RelValAnalysis/NAMESPACE
RelValAnalysis/data
RelValAnalysis/data/applestarbucks.RData
RelValAnalysis/R
RelValAnalysis/R/capdist.R RelValAnalysis/R/toymarket.R RelValAnalysis/R/fgportfolio.R RelValAnalysis/R/portfolioweights.R RelValAnalysis/R/energyentropy.R RelValAnalysis/R/diversity.R RelValAnalysis/R/marketmodel.R
RelValAnalysis/MD5
RelValAnalysis/DESCRIPTION
RelValAnalysis/man
RelValAnalysis/man/AtlasModel.Rd RelValAnalysis/man/FreeEnergy.Rd RelValAnalysis/man/GetWeight.Rd RelValAnalysis/man/ShannonEntropy.Rd RelValAnalysis/man/capdist.Rd RelValAnalysis/man/GetGroupWeight.Rd RelValAnalysis/man/Invest.Rd RelValAnalysis/man/RelativeEntropy.Rd RelValAnalysis/man/print.marketmodel.Rd RelValAnalysis/man/ParetoCapDist.Rd RelValAnalysis/man/GeometricMean.Rd RelValAnalysis/man/applestarbucks.Rd RelValAnalysis/man/RelValAnalysis.Rd RelValAnalysis/man/print.toymkt.Rd RelValAnalysis/man/FernholzDecomp.Rd RelValAnalysis/man/RenyiEntropy.Rd RelValAnalysis/man/EntropyPortfolio.Rd RelValAnalysis/man/Diversity.Rd RelValAnalysis/man/ConstantPortfolio.Rd RelValAnalysis/man/plot.toymkt.Rd RelValAnalysis/man/marketmodel.Rd RelValAnalysis/man/DiversityPortfolio.Rd RelValAnalysis/man/SimMarketModel.Rd RelValAnalysis/man/fgp.Rd RelValAnalysis/man/GetLambdaWeight.Rd RelValAnalysis/man/plot.capdist.Rd RelValAnalysis/man/print.capdist.Rd RelValAnalysis/man/EnergyEntropyDecomp.Rd RelValAnalysis/man/GetNewLambdaWeight.Rd RelValAnalysis/man/CapDistSlope.Rd RelValAnalysis/man/EEControl.Rd RelValAnalysis/man/VolStabModel.Rd RelValAnalysis/man/toymkt.Rd RelValAnalysis/man/print.fgp.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.