R-Finance/PortfolioAttribution: Performance attribution tools used for identifying sources of portfolio return and risk.
Version 0.3

This package provides functions for the ex-post portfolio attribution methods described in Christopherson, Carino and Ferson (2009), Bacon (2008), and several other sources. The package was initially created as a part of the Google Summer of Code (GSoC) 2012 project.

Getting started

Package details

AuthorAndrii Babii
MaintainerAndrii Babii <[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/PortfolioAttribution")
R-Finance/PortfolioAttribution documentation built on May 9, 2017, 9:40 p.m.