Reckziegel/FFP: Fully Flexible Probabilities for Stress Testing and Portfolio Construction
Implements numerical entropy-pooling for portfolio construction and scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010) <doi:10.2139/ssrn.1696802>.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | MIT + file LICENSE |
| Version | 0.2.2.9000 |
| URL | https://github.com/Reckziegel/FFP |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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