Man pages for erolbicero/propfolio
Propfolio Management

COVtoCORconvert covariance matrix to correlation matrix
createOptimalStatisticTimeSeriesextract optimization statistics from the optimization object
createRealizedPortfolioTimeSeriesextract optimization statistics from the optimization object
dominantEigenvectorsIdentify dominant eigenvalues
eigenDimensionReductionWrapperfor base::eigen, used in case this function switches...
estimateCovarianceMatrixdetailed function to estimate robust covariance matrix based...
evaluateNormalDistributionseval normal distributions
evaluateSkewStudentTDistributionseval skew t distributions
evaluateStudentTDistributionseval t distributions
fitCopulaFit a Vine Copula
fitMarginalResidualFit marginal distributions for noisy principal components -...
fitMarginalSignalFit signal distributions for signal principal components -...
fitNormalDistributionsfit normal distributions
fitSkewStudentTDistributionsfit skew t distributions
fitStudentTDistributionsfit t distributions
horizonPnLsCalculate horizon price differences for use in portfolio...
horizonPricesCalculate projected prices at investment horizon
optimizeMeanVariancePortfolioOptimize mean variance portfolio using Meucci's methods...
plotDistributionFitStudentTplot t distributions
plotOptimalStatisticPlot time series object in ggplot
plotRiskReturnScatterPlot time series object in ggplot
plotTimeSeriesObjectPlot time series object in ggplot
simulateDataToHorizonSimulate prices to horizon based on fitted marginal...
simulateDataToHorizon3Simulate prices to horizon based on fitted marginal...
tsEigenProductConvenience funciton to matrix multiply an xts object with a...
erolbicero/propfolio documentation built on May 13, 2017, 8:23 p.m.