strand: A Framework for Investment Strategy Simulation

Provides a framework for performing discrete (share-level) simulations of investment strategies. Simulated portfolios optimize exposure to an input signal subject to constraints such as position size and factor exposure. For background see L. Chincarini and D. Kim (2010, ISBN:978-0-07-145939-6) "Quantitative Equity Portfolio Management".

Package details

AuthorJeff Enos [cre, aut, cph], David Kane [aut], Ben Czekanski [ctb], Robert Hoover [ctb], Jack Luby [ctb], Nils Wallin [ctb]
MaintainerJeff Enos <>
Package repositoryView on CRAN
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strand documentation built on Nov. 20, 2020, 1:08 a.m.