R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Attilio Meucci is a thought leader in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas). Attilio is somewhat rare in the world of financial research in that he regularly posts code along with his working papers. Unfortunately for those of us using R, he prefers to code in Matlab. Some of that code requires Matlab's additional Optimization Toolkit. This package is the result of a Google Summer of Code project in 2012 and 2013 that seeks to convert a subset of his Matlab code to R to make it more widely accessible to R users. All of Meucci's original MATLAB source is available on www.symmys.com. That code should be considered the reference code that this package seeks to port to R. This package remains under development (and likely will as long as Attilio keeps publishing code), and any and all feedback is appreciated.

Getting started

Package details

Author Attilio Meucci, Ram Ahluwalia, David Ardia, Xavier Valls, Brian Peterson, Manan Shah
Maintainer"David Ardia" <[email protected]>
LicenseGPL
Version0.3
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("R-Finance/Meucci")
R-Finance/Meucci documentation built on May 9, 2017, 8:44 p.m.