Man pages for erolbicero/propfolio
Propfolio Management
| COVtoCOR | convert covariance matrix to correlation matrix |
| createOptimalStatisticTimeSeries | extract optimization statistics from the optimization object |
| createRealizedPortfolioTimeSeries | extract optimization statistics from the optimization object |
| dominantEigenvectors | Identify dominant eigenvalues |
| eigenDimensionReduction | Wrapperfor base::eigen, used in case this function switches... |
| estimateCovarianceMatrix | detailed function to estimate robust covariance matrix based... |
| evaluateNormalDistributions | eval normal distributions |
| evaluateSkewStudentTDistributions | eval skew t distributions |
| evaluateStudentTDistributions | eval t distributions |
| fitCopula | Fit a Vine Copula |
| fitMarginalResidual | Fit marginal distributions for noisy principal components -... |
| fitMarginalSignal | Fit signal distributions for signal principal components -... |
| fitNormalDistributions | fit normal distributions |
| fitSkewStudentTDistributions | fit skew t distributions |
| fitStudentTDistributions | fit t distributions |
| horizonPnLs | Calculate horizon price differences for use in portfolio... |
| horizonPrices | Calculate projected prices at investment horizon |
| optimizeMeanVariancePortfolio | Optimize mean variance portfolio using Meucci's methods... |
| plotDistributionFitStudentT | plot t distributions |
| plotOptimalStatistic | Plot time series object in ggplot |
| plotRiskReturnScatter | Plot time series object in ggplot |
| plotTimeSeriesObject | Plot time series object in ggplot |
| simulateDataToHorizon | Simulate prices to horizon based on fitted marginal... |
| simulateDataToHorizon3 | Simulate prices to horizon based on fitted marginal... |
| tsEigenProduct | Convenience funciton to matrix multiply an xts object with a... |
