Man pages for fountainer/ptools
Tools used in the empirical study in portfolio optimization

analyze_weightsAnayize the weights.
cerCompute the certainty equivalent return.
criteriaCompute the crieria that evaluate the performance of...
gmvpCompute the optimal weights of global minimum variance...
returns_outCompute the out-of-sample returns given the weights and...
rfactorGenerate the excess returns using factor model.
roll_gmvpCompute the rolling weights given a function that returns...
roll_inverseRolling apply a function that returns a covariance or inverse...
roll_weightsCompute the weights given a list of inverse covariance...
test_srRobust Performance Hypothesis Testing with the Sharpe Ratio...
test_varRobust Performance Hypothesis Testing with the variance using...
turnoverCompute the turnover
fountainer/ptools documentation built on May 14, 2017, 3:31 a.m.