RelValAnalysis: Relative Value Analysis

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

Author
Ting-Kam Leonard Wong [aut, cre]
Date of publication
2014-06-26 07:40:05
Maintainer
Ting-Kam Leonard Wong <wongting@uw.edu>
License
GPL-2 | GPL-3
Version
1.0

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