R-Finance/PortfolioAttribution: Performance attribution tools used for identifying sources of portfolio return and risk.
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
Browse package contents
Package details |
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| Author | Andrii Babii |
| Maintainer | Andrii Babii <babiy.andrew@gmail.com> |
| License | GPL |
| Version | 0.3 |
| 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:
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