JustinMShea/ExpectedReturns: Reproduction of Key Functionality from Antti Ilmanen's Expected Returns

Collection of tools to replicate key functionality from Antti Ilmanen's Expected Returns. Users will find worked examples from the book, and code to parse, clean, and manipulate many of the data sets used in the book, as well as equivalent/similar but possibly more accessible alternative data sources. Additionally, the package provides general purpose functions such that users may use their own data to apply models similar to those described in the book and evaluate these models in current market conditions or in different markets than those utilized for the text.

Getting started

Package details

URL https://github.com/justinmshea/ExpectedReturns
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
JustinMShea/ExpectedReturns documentation built on Sept. 27, 2020, 5:41 p.m.