Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
Package details |
|
---|---|
Author | Avinash Acharya, Lingjie Yi |
Maintainer | <acharya@uw.edu>, <lingjy@uw.edu> |
License | GPL-2 |
Version | 1.1 |
URL | http://r-forge.r-project.org/projects/returnanalytics/ |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.