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

Files in this package

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.

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