Man pages for rexmacey/TaxAwareAA
Tax Aware Asset Allocation

aa_objective_abs_riskAsset Allocation objective function - benchmark insensitive
aa_objective_min_riskObjective for finding minimum risk portfolio
aa_objective_rel_riskAsset Allocation objective function - benchmark sensitive
acname_lookupLook up asset class name in a table
add_port_infoAdds portfolio information to a mix
ATReturn.calcCalculate after-tax expected returns
ATReturn.deferredCalculation of after-tax return in a deferred account
ATReturn.taxableCalculation of after-tax return in a taxable account the asset class weights across account types the future after-tax value of a portfolio
calc_penaltiesCalculate penalties Calculates the penalties used in...
calc_slackCalculates slack
cma.add.constraintAdd constraint to a CMA
cma.calculate.covCalculates the covariance matrix of a cma from its...
cma.calculate.riskCalculates the risk vector of a cma from its covariance...
cma.createCreate CMA (Capital Market Assumptions)
cma.initializeInitialize a CMA (Capital Market Assumptions)
cma.set.corrAdd (or replace) the correlation matrix in a cma
cma.set.covAdd (or replace) the covariance matrix in a cma
cma.ta.createCreate a tax-aware CMA
combine.class.wtsCombine asset class weights from different account types.
create.benchmarkExpands an abbreviated (short) benchmark into a longer...
create.efficient.frontierCreate an efficient frontier using the pairwise iteration...
diversification_scoreCalculates a measure of diversification
efficient.frontierCreate an efficient frontier
find_max_return_portfolioFind Max Return portfolios for a risk budget
find.minmax.returnFind Min and Max Return
find_min_risk_portfolioFind the minimum risk portfolio
Get10YrBEInflationRateRetrieves the 10 year breakeven inflation rate from the St....
investor.createCreate Investor
investor.pctassetsCreate a vector of the percent of pretax assets
investor.valueInitial value in investor accounts
make_alloc_tablesMake allocation tables Give a set of weights, the function...
maximize_pairwisePortfolio optimization using a pairwise algorithm the portfolio with the minimum standard deviation given...
plot.effPlot efficient frontier
portretCalculate the return of a portfolio
portriskCalculate the standard deviation of a portfolio
portvarCalculate the variance of a portfolio
pretax_returnCalculates the pre-tax return
print.cmaPrint cma object
print.cma.taPrint cma.ta object
print.effPrint Efficient Frontier
print.investorPrint investor
rafi.cmaLoad RAFI data into a cma
rafi.cma.v1Load RAFI data into a cma
rafi.cma.v2Load RAFI data into a cma Version 2 uses RAFI file format... RAFI data
rafi.load.v1Load RAFI data
rafi.load.v2Load RAFI data RAFI csv files RAFI XLS file This function reads a set of returns and... resampling to find an efficient portfolio
ret_SqRootofTReturn using the square-root-of-T rule
TaxAwareAATaxAwareAA: A package for performing tax-aware asset...
rexmacey/TaxAwareAA documentation built on Oct. 30, 2018, 3:35 a.m.