ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.

Package details

AuthorBernardo Reckziegel [aut, cre]
MaintainerBernardo Reckziegel <bernardo_cse@hotmail.com>
LicenseMIT + file LICENSE
URL https://github.com/Reckziegel/FFP
Package repositoryView on CRAN
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ffp documentation built on Sept. 29, 2022, 5:10 p.m.