chartCusum | cusumActMgr Plots |
chartRobRisk | 'riskBudget' Plots |
CommonFactors | Factor set of several commonly used factors |
cusumActMgr | Using Statistical Process Control to Monitor Active... |
cusumData | Parvest and Russell2500 |
factorDataSetDjia | DJIA stocks Compustat factors 14yrs |
factorDataSetDjia5yrs | DJIA stocks Compustat factors 5yrs |
fitFfm | Fit a fundamental factor model using cross-sectional... |
managers | Hypothetical Alternative Asset Manager and Benchmark Data |
managers.ffm | managers data for ffm |
mktSP | S&P 500 Returns |
mktUS | US Market Returns |
robRiskBudget | Simple and Robust Risk Budgeting with Expected Shortfall |
RussellData | Russell data |
simulateARL | Simulation for thresholds of the Lindley's recursion |
Stock.df | Fundamental and return data for 447 NYSE stocks |
StockReturns | Stock Return Data |
stocks145scores6 | CRSP stocks Capital IQ scores |
summary.cusumActMgr | Summarizing a cusumActMgr object |
TreasuryYields | Treasury yields at different maturities |
wtsDjiaGmv | DJIA GMV portfolio weights |
wtsDjiaGmvLo | DJIA GMV long-only portfolio weights |
wtsStocks145Gmv | CRSP 145 stocks GMV portfolio weights |
wtsStocks145GmvLo | CRSP 145 stocks GMV long-only weights |
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