Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
|Author||Eric Zivot, Doug Martin, Sangeetha Srinivasan, Yi-An Chen, Lingjie Yi, Avinash Acharya and Chindhanai Uthaisaad|
|Maintainer||Sangeetha Srinivasan <[email protected]>|
|Package repository||View on GitHub|
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