Files in guillermozbta/portafolio-master

Econometric tools for performance and risk analysis.

R/ActivePremium.R R/AdjustedSharpeRatio.R R/AppraisalRatio.R R/BernadoLedoitratio.R R/BurkeRatio.R R/CAPM.alpha.R R/CAPM.beta.R R/CAPM.dynamic.R R/CAPM.epsilon.R R/CAPM.jensenAlpha.R R/CAPM.utils.R R/CalmarRatio.R R/CoMoments.R R/DRatio.R R/DownsideDeviation.R R/DownsideFrequency.R R/DrawdownPeak.R R/Drawdowns.R R/ES.R R/FamaBeta.R R/Frequency.R R/HerfindahlIndex.R R/HurstIndex.R R/InformationRatio.R R/Kappa.R R/KellyRatio.R R/M2Sortino.R R/MSquared.R R/MSquaredExcess.R R/MarketTiming.R R/MartinRatio.R R/MeanAbsoluteDeviation.R R/Modigliani.R R/MultivariateMoments.R R/NetSelectivity.R R/Omega.R R/OmegaExcessReturn.R R/OmegaSharpeRatio.R R/PainIndex.R R/PainRatio.R R/PortfolioRisk.R R/ProspectRatio.R R/Return.Geltner.R R/Return.annualized.R R/Return.annualized.excess.R R/Return.calculate.R R/Return.clean.R R/Return.cumulative.R R/Return.excess.R R/Return.portfolio.R R/Return.read.R R/Return.relative.R R/Selectivity.R R/SemiDeviation.R R/SharpeRatio.R R/SharpeRatio.annualized.R R/SkewnessKurtosisRatio.R R/SmoothingIndex.R R/SortinoRatio.R R/SpecificRisk.R R/StdDev.R R/StdDev.annualized.R R/SystematicRisk.R R/TotalRisk.R R/TrackingError.R R/TreynorRatio.R R/UlcerIndex.R R/UpDownRatios.R R/UpsideFrequency.R R/UpsidePotentialRatio.R R/UpsideRisk.R R/VaR.Marginal.R R/VaR.R R/VolatilitySkewness.R R/apply.fromstart.R R/apply.rolling.R R/chart.ACF.R R/chart.ACFplus.R R/chart.Bar.R R/chart.BarVaR.R R/chart.Boxplot.R R/chart.CaptureRatios.R R/chart.Correlation.R R/chart.CumReturns.R R/chart.Drawdown.R R/chart.ECDF.R R/chart.Events.R R/chart.Histogram.R R/chart.QQPlot.R R/chart.Regression.R R/chart.RelativePerformance.R R/chart.RiskReturnScatter.R R/chart.RollingCorrelation.R R/chart.RollingMean.R R/chart.RollingPerformance.R R/chart.RollingQuantileRegression.R R/chart.RollingRegression.R R/chart.Scatter.R R/chart.SnailTrail.R R/chart.StackedBar.R R/chart.TimeSeries.R R/chart.VaRSensitivity.R R/charts.Bar.R R/charts.BarVaR.R R/charts.PerformanceSummary.R R/charts.RollingPerformance.R R/charts.RollingRegression.R R/charts.TimeSeries.R R/checkData.R R/decomposeMVaR.R R/expectedShortFallFunctions.r R/findDrawdowns.R R/kurtosis.R R/legend.R R/lpm.R R/maxDrawdown.R R/mean.utils.R R/na.skip.R R/rCornishFisher.r R/replaceTabs.R R/skewness.R R/sortDrawdowns.R R/table.AnnualizedReturns.R R/table.Arbitrary.R R/table.Autocorrelation.R R/table.CAPM.R R/table.CalendarReturns.R R/table.CaptureRatios.R R/table.Correlation.R R/table.Distributions.R R/table.DownsideRisk.R R/table.DownsideRiskRatio.R R/table.Drawdowns.R R/table.DrawdownsRatio.R R/table.HigherMoments.R R/table.InformationRatio.R R/table.MonthlyReturns.R R/table.RollingPeriods.R R/table.SpecificRisk.R R/table.UpDownRatios.R R/table.Variability.R R/textplot.R R/valueAtRiskFunctions.r R/zerofill.R R/zzz.R man/ActivePremium.Rd man/AdjustedSharpeRatio.Rd man/AppraisalRatio.Rd man/AverageDrawdown.Rd man/BernardoLedoitRatio.Rd man/BetaCoMoments.Rd man/BurkeRatio.Rd man/CAPM.RiskPremium.Rd man/CAPM.alpha.Rd man/CAPM.beta.Rd man/CAPM.dynamic.Rd man/CAPM.epsilon.Rd man/CAPM.jensenAlpha.Rd man/CDD.Rd man/CalmarRatio.Rd man/CoMoments.Rd man/DRatio.Rd man/DownsideDeviation.Rd man/DownsideFrequency.Rd man/DrawdownDeviation.Rd man/DrawdownPeak.Rd man/ES.Rd man/FamaBeta.Rd man/Frequency.Rd man/HurstIndex.Rd man/InformationRatio.Rd man/Kappa.Rd man/KellyRatio.Rd man/M2Sortino.Rd man/MSquared.Rd man/MSquaredExcess.Rd man/MarketTiming.Rd man/MartinRatio.Rd man/MeanAbsoluteDeviation.Rd man/Modigliani.Rd man/NetSelectivity.Rd man/Omega.Rd man/OmegaExcessReturn.Rd man/OmegaSharpeRatio.Rd man/PainIndex.Rd man/PainRatio.Rd man/PerformanceAnalytics-package.Rd man/ProspectRatio.Rd man/Return.Geltner.Rd man/Return.annualized.Rd man/Return.annualized.excess.Rd man/Return.calculate.Rd man/Return.clean.Rd man/Return.cumulative.Rd man/Return.excess.Rd man/Return.portfolio.Rd man/Return.read.Rd man/Return.relative.Rd man/Selectivity.Rd man/SharpeRatio.Rd man/SharpeRatio.annualized.Rd man/SkewnessKurtosisRatio.Rd man/SmoothingIndex.Rd man/SortinoRatio.Rd man/SpecificRisk.Rd man/StdDev.Rd man/StdDev.annualized.Rd man/SystematicRisk.Rd man/TotalRisk.Rd man/TrackingError.Rd man/TreynorRatio.Rd man/UlcerIndex.Rd man/UpDownRatios.Rd man/UpsideFrequency.Rd man/UpsidePotentialRatio.Rd man/UpsideRisk.Rd man/VaR.Rd man/VolatilitySkewness.Rd man/apply.fromstart.Rd man/apply.rolling.Rd man/centeredmoments.Rd man/chart.ACF.Rd man/chart.Bar.Rd man/chart.BarVaR.Rd man/chart.Boxplot.Rd man/chart.CaptureRatios.Rd man/chart.Correlation.Rd man/chart.CumReturns.Rd man/chart.Drawdown.Rd man/chart.ECDF.Rd man/chart.Events.Rd man/chart.Histogram.Rd man/chart.QQPlot.Rd man/chart.Regression.Rd man/chart.RelativePerformance.Rd man/chart.RiskReturnScatter.Rd man/chart.RollingCorrelation.Rd man/chart.RollingMean.Rd man/chart.RollingPerformance.Rd man/chart.RollingRegression.Rd man/chart.Scatter.Rd man/chart.SnailTrail.Rd man/chart.StackedBar.Rd man/chart.TimeSeries.Rd man/chart.VaRSensitivity.Rd man/charts.PerformanceSummary.Rd man/charts.RollingPerformance.Rd man/checkData.Rd man/clean.boudt.Rd man/edhec.Rd man/findDrawdowns.Rd man/kurtosis.Rd man/legend.Rd man/lpm.Rd man/managers.Rd man/maxDrawdown.Rd man/mean.geometric.Rd man/portfolio_bacon.Rd man/prices.Rd man/skewness.Rd man/sortDrawdowns.Rd man/table.AnnualizedReturns.Rd man/table.Arbitrary.Rd man/table.Autocorrelation.Rd man/table.CAPM.Rd man/table.CalendarReturns.Rd man/table.CaptureRatios.Rd man/table.Correlation.Rd man/table.Distributions.Rd man/table.DownsideRisk.Rd man/table.DownsideRiskRatio.Rd man/table.Drawdowns.Rd man/table.DrawdownsRatio.Rd man/table.HigherMoments.Rd man/table.InformationRatio.Rd man/table.MonthlyReturns.Rd man/table.RollingPeriods.Rd man/table.SpecificRisk.Rd man/table.Variability.Rd man/textplot.Rd man/weights.Rd man/zerofill.Rd sandbox/Benford.R sandbox/PAenhance/R/chart.Boxplot.R sandbox/PAenhance/R/chart.QQplot.R sandbox/PAenhance/inst/PA-KirkLi.pdf sandbox/PAenhance/man/chart.Boxplot.Rd sandbox/PAenhance/man/chart.QQPlot.Rd sandbox/Return.wealthindex.R sandbox/Shubhankit/noniid.sm/R/ACStdDev.annualized.R sandbox/Shubhankit/noniid.sm/R/CDrawdown.R sandbox/Shubhankit/noniid.sm/R/CalmarRatio.Norm.R sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R sandbox/Shubhankit/noniid.sm/R/GLMSmoothIndex.R sandbox/Shubhankit/noniid.sm/R/LoSharpe.R sandbox/Shubhankit/noniid.sm/R/QP.Norm.R sandbox/Shubhankit/noniid.sm/R/Return.GLM.R sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R sandbox/Shubhankit/noniid.sm/R/SterlingRatio.Norm.R sandbox/Shubhankit/noniid.sm/R/UnsmoothReturn.R sandbox/Shubhankit/noniid.sm/R/chart.AcarSim.R sandbox/Shubhankit/noniid.sm/R/chart.Autocorrelation.R sandbox/Shubhankit/noniid.sm/R/glmi.R sandbox/Shubhankit/noniid.sm/R/lmi.R sandbox/Shubhankit/noniid.sm/R/na.skip.R sandbox/Shubhankit/noniid.sm/R/noniid.sm-internal.R sandbox/Shubhankit/noniid.sm/R/se.LoSharpe.R sandbox/Shubhankit/noniid.sm/R/table.ComparitiveReturn.GLM.R sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R sandbox/Shubhankit/noniid.sm/R/table.Sharpe.R sandbox/Shubhankit/noniid.sm/R/table.UnsmoothReturn.R sandbox/Shubhankit/noniid.sm/R/table.normDD.R sandbox/Shubhankit/noniid.sm/tests/Examples/noniid.sm-Ex.R sandbox/Shubhankit/noniid.sm/tests/Examples/noniid.sm-Ex.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.pdf sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.pdf sandbox/Shubhankit/sandbox/Week6-7/Code/Covariance Matrix Integrated Regression Function/glmi.R sandbox/Shubhankit/sandbox/Week6-7/Code/Covariance Matrix Integrated Regression Function/lmi.R sandbox/Shubhankit/sandbox/Week6-7/Code/Covariance Matrix Integrated Regression Function/nlsi.R sandbox/Shubhankit/sandbox/Week6-7/Code/Tests/Cross Sectional Data.R sandbox/Shubhankit/sandbox/Week6-7/Code/Tests/HAC Data.R sandbox/Shubhankit/sandbox/Week6-7/Code/Tests/Tests.R sandbox/Shubhankit/sandbox/Week6-7/Code/Tests/Time Series Data.R sandbox/Shubhankit/sandbox/Week6-7/Literature/Zelisis.pdf sandbox/Shubhankit/sandbox/Week6-7/Literature/sandwich-OOP.pdf sandbox/Shubhankit/sandbox/Week6-7/Vignette/HACintegrated-hac-kweights.pdf sandbox/Shubhankit/sandbox/Week6-7/Vignette/HACintegrated-hac-plot.pdf sandbox/Shubhankit/sandbox/Week6-7/Vignette/HACintegrated-hc-plot.pdf sandbox/Shubhankit/sandbox/Week6-7/Vignette/Test_Report.pdf sandbox/Shubhankit/sandbox/Week6-7/lmi.R sandbox/Shubhankit/sandbox/vignettes/AcarSim.R sandbox/Shubhankit/sandbox/vignettes/Managers.pdf sandbox/fPerformance/R/perf-Data.R sandbox/fPerformance/R/perf-DownsideRisk.R sandbox/fPerformance/R/perf-Drawdown.R sandbox/fPerformance/R/perf-RegressionAnalysis.R sandbox/fPerformance/R/perf-RelativeRisk.R sandbox/fPerformance/R/perf-ReturnDisributions.R sandbox/fPerformance/R/perf-Returns.R sandbox/fPerformance/R/perf-Risk.R sandbox/fPerformance/R/perf-RiskAdjusted.R sandbox/fPerformance/R/perf-Tables.R sandbox/fPerformance/R/perf-ValueAtRisk.R sandbox/pulkit/R/BenchmarkPlots.R sandbox/pulkit/R/BenchmarkSR.R sandbox/pulkit/R/CDaRMultipath.R sandbox/pulkit/R/CdaR.R sandbox/pulkit/R/DrawdownBeta.R sandbox/pulkit/R/DrawdownBetaMulti.R sandbox/pulkit/R/Drawdownalpha.R sandbox/pulkit/R/EDDCOPS.R sandbox/pulkit/R/Edd.R sandbox/pulkit/R/ExtremeDrawdown.R sandbox/pulkit/R/GoldenSection.R sandbox/pulkit/R/MaxDD.R sandbox/pulkit/R/MinTRL.R sandbox/pulkit/R/MonteSimulTriplePenance.R sandbox/pulkit/R/PSRopt.R sandbox/pulkit/R/Penance.R sandbox/pulkit/R/ProbSharpeRatio.R sandbox/pulkit/R/REDDCOPS.R sandbox/pulkit/R/REM.R sandbox/pulkit/R/SRIndifferenceCurve.R sandbox/pulkit/R/TriplePenance.R sandbox/pulkit/R/TuW.R sandbox/pulkit/R/capm_aorda.R sandbox/pulkit/R/chart.Penance.R sandbox/pulkit/R/chart.REDD.R sandbox/pulkit/R/chart.SharpeEfficient.R sandbox/pulkit/R/gpdmle.R sandbox/pulkit/R/na.skip.R sandbox/pulkit/R/psr_python.R sandbox/pulkit/R/redd.R sandbox/pulkit/R/ret.R sandbox/pulkit/R/table.PSR.R sandbox/pulkit/R/table.Penance.R sandbox/pulkit/inst/doc/ProbSharpe.pdf sandbox/pulkit/week1/tests/SEF.tests.R sandbox/pulkit/week1/vignette/ProbSharpe.pdf sandbox/pulkit/week2/tests/test_SharpeIndifference.R sandbox/pulkit/week3_4/tests/tests.TriplePenance.R sandbox/pulkit/week3_4/vignette/TriplePenance.pdf sandbox/pulkit/week5/REDDCOPS.pdf sandbox/pulkit/week7/ExtremeDrawdown.R sandbox/pulkit/week7/gpdmle.R sandbox/refactored.Portfolio.rebalancing.R sandbox/test_Return.rebalancing.R vignettes/PA-Bacon.pdf vignettes/PA-charts.pdf vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf vignettes/PerformanceAnalyticsGraphicalExamples.pdf vignettes/PerformanceAnalyticsPresentation-UseR-2007.pdf vignettes/textplotPresentation-CRUG-2011.pdf