AvinashAcharya/Test_factorAnalytics: Development of factorAnalytics package as a part of GSoC-2016
Version 1.1

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.

Getting started

Package details

AuthorAvinash Acharya, Lingjie Yi
Maintainer<[email protected]>, <[email protected]>
LicenseGPL-2
Version1.1
URL http://r-forge.r-project.org/projects/returnanalytics/
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("AvinashAcharya/Test_factorAnalytics")
AvinashAcharya/Test_factorAnalytics documentation built on May 28, 2017, 6 p.m.