Man pages for kecoli/PCRM
Companion to Portfolio Construction and Risk Management
| barplotWts | barplotWts |
| barplotWtsDoug | Title |
| bootEfronts | bootEfronts |
| brkAnnual | Berkshire Hathaway annual return |
| brkMonthlyBloomberg | Berkshire Hathaway montly return |
| cbind.na | cbind.na |
| chart.Boxplot2 | box whiskers plot wrapper |
| chart.Efront | chart.Efront |
| chart.QQPlot2 | Plot a QQ chart that adapts to different distribution types... |
| combine.cset | Constraint specifications |
| consRockeCh2 | Title |
| constFromEffHuber | Constant from Efficiency Huber Psi |
| constraints | Wrapper of constraints to constraint object |
| crsp.returns8 | crsp.returns8 |
| cset.box | Constraint specifications |
| cset.fixed | Constraint specifications |
| cset.groups | Constraint specifications |
| cset.lo | Constraint specifications |
| cset.mu.target | Constraint specifications |
| cset.propcost | Constraint specifications |
| cset.sum | Constraint specifications |
| cset.turnover | Constraint specifications |
| cset.turnover.hobbs | Constraint specifications |
| cusumActMgr | Using Statistical Process Control to Monitor Active... |
| cusumData | Parvest and Russell2500 |
| divHHI | divHHI is the function to calculate the diversification index... |
| edfPointMassFig | Title |
| effFromConstHuber | Efficiency From Constant Huber Psi |
| efront2Asset | Efficient Frontier for 2-Asset Portfolio |
| efrontMV | Compute Efficient Frontier of Mean Variance Optimization |
| efrontPlot | Plot Efficient Frontier of Mean Variance Optimization |
| efrontplot.shiny | efrontplot.shiny |
| ellipsesPlotNewKjell.covfm | Title |
| etl | NORMALIZED (DEFAULT) AND NON-NORMALIZED ETL |
| ewmaMeanVol | Exponential Weighted Moving Average (EWMA) Mean Volitility |
| ewmaVol | Exponential Weighted Moving Average (EWMA) Volitility |
| factorDataSetDjia | DJIA stocks Compustat factors 14yrs |
| factorDataSetDjia5Yrs | DJIA stocks Compustat factors 5yrs |
| factorDataSPGMI | Fundamental factor scores from S&P Global Market Intelligence |
| fitTsfmStats | fitTsfmStats |
| gmv | GMV Portfolio with Constraints |
| largecapM | largecapM |
| largecap.ts | largecap.ts |
| largecapW | largecapW |
| lmFitStats | lmFitStats |
| managers | time-series data |
| managers.ffm | managers data for ffm |
| mathEfront | mathEfront |
| mathEfrontCashRisky | mathEfrontCashRisky |
| mathEfrontRisky | mathEfrontRisky |
| mathEfrontRiskyMuCov | Title |
| mathGmv | Global Minimum Variance (GMV) Portfolio |
| mathGmvMuCov | Global Minimum Variance (GMV) Portfolio |
| mathTport | mathTport |
| mathWtsEfrontRisky | Title |
| mathWtsEfrontRiskyMuCov | Title |
| maxmu | Compute the Max Mean Return Portfolio with Constraints This... |
| microcapM | microcapM |
| microcap.ts | microcap.ts |
| microcapW | microcapW |
| midcapM | midcapM |
| midcap.ts | midcap.ts |
| midcapW | midcapW |
| minmu | Compute the minimu of mean return using GMV |
| mktSP | S&P 500 Returns |
| mktUS | US Market Returns |
| mpo-package | Modern Portfolio Optimization |
| muEst | muEst returns a simple weighted average of the current return... |
| mvo | MVO Portfolio with Constraints |
| opt.outputMeanVol | opt.outputMeanVol |
| opt.outputMeanVolWts | opt.outputMeanVolWts |
| opt.outputMvo | opt.outputMvo |
| plotLSandRobustDD | plotLSandRobustDD |
| plotLSandRobustVHI | plotLSandRobustVHI |
| plotLSfitVHI | Title |
| powerUtilityPlots | Title |
| propcost.modify | Constraint specifications |
| psiHardRej | Psi Hard Rejection |
| psiHuber | Huber Psi |
| psiOpt | psiOpt |
| quadraticUtilityPlot | Title |
| rhoHuber | Huber Rho |
| rhoOpt | rhoOpt |
| riskFreeRate | Risk-free rates |
| runExample | runExample |
| RussellData | Russell data |
| scoresSPGMI | cleaned SPGMI data |
| scoresSPGMIraw | raw SPGMI data |
| sharpeRatio | calculate a traditional or modified Sharpe Ratio of Return... |
| sigmaEst | sigmaEst computes a EW estimate of volatility |
| signifStars | signifStars |
| smallcapM | smallcapM |
| smallcap.ts | smallcap.ts |
| smallcapW | smallcapW |
| smallGrowth | TBA |
| spxAnnual | S&P 500 annual return |
| starrRatio | NORMALIZED (DEFAULT) AND NON-NORMALIZED STARR |
| stocks145scores6 | CRSP stocks Capital IQ scores |
| stocksCRSP | CRSP stocks data |
| stocksCRSPscoresSPGMI | cleaned SPGMI and CRSP data |
| stocksCRSPscoresSPGMIraw | raw SPGMI and CRSP data |
| stocksWithFactorsData300 | 300 stocks with factors |
| stocksWithFactorsData300_old | 300 stocks with factors |
| table.Performance | Generate general performance table for returns |
| table.Performance.pool | Print metrics from R-forge PerformanceAnalytics that... |
| table.Performance.pool.cran | Print metrics from R CRAN PerformanceAnalytics that... |
| testFun | this is a test |
| tsPlot | tsPlot |
| tsPlotMP | Time Series Plots |
| turnover.hobbs.modify | Constraint specifications |
| turnover.modify | Constraint specifications |
| turnoverOpt | turnoverOpt |
| TurnoverOpt_doug | Specify turnover constraints using a version derived by Doug... |
| turnoverSimple | turnOverSimple |
| UncertaintyMeasure | Uncertainty measure of Variance Estimator This function... |
| WRoTruCh2 | Title |
| wtsDjiaGmv | DJIA GMV portfolio weights |
| wtsDjiaGmvLo | DJIA GMV long-only portfolio weights |
| wtsHuber | Huber Wts |
| wtsOpt | wtsOpt |
| wtsStocks145Gmv | CRSP 145 stocks GMV portfolio weights |
| wtsStocks145GmvLo | CRSP 145 stocks GMV long-only weights |
