Man pages for veldanie/SuraInvestmentAnalytics
Investment Analytics

approx_dret_dwEstimates derivative of portfolio volatility w.r.t. w.
approx_dsharpe_dwEstimates derivative of portfolio volatility w.r.t. w.
approx_dvol_dwEstimates derivative of portfolio volatility w.r.t. w.
asset_dataInformaciĆ³n de activos.
asset_universeAsset Universe
benchmarksBenchmarks.
cash_convCash converter.
complete_index_seriesIndex Series
cond_drawdownConditional Drawdown
covarCovariance matrix and volatilities.
covar_weightCovariance matrix and volatilities using weighted averages.
drawdownDrawdown Returns returns
efficient_frontierEfficient frontier.
fx_crossfx_cross.
hedged_returnHedged_return.
implied_returnEquilibrium returns
index_seriesIndex Series
iso_quoteISO quote
max_drawdownMax Drawdown Return
my_panelmy_panel
neg_rets_percNegative returns percentage in horizon.
optimal_contriboptimal contribution to reach target.
optimal_contrib_unirootoptimal contribution to reach target.
optim_portfolioOptimal portfolio.
optim_portfolio_resampOptimal portfolio.
params_simulMean vector and Covariance matrix.
pe_consolPE Consol.
pe_tPE at time ti.
portfolio_backtestPorfolio backtest
portfolio_fx_hedgePorfolio fx hedge
portfolio_returnPorfolio return
portfolios_units_valuesPortfolio unit values
port_limitsEstimates lower and upper limits of portfolio.
port_returnPorfolio returns
port_simulPortfolio values.
posterior_paramsBlack Litterman posterior mean and variance.
pr_hw_simulSimulated prices within the hull-white model,
private_equity_simulPE simulation.
private_equity_simul_const_contribPE simulation.
pr_simul_transMean vector and Covariance matrix.
returnsReturns
risk_atribEstimates risk attributions per factor for volatility, VaR...
risk_funRisk functional
series_drawdownDrawdown Returns returns
series_fxfwd_listSeries de tiempo fx forward.
series_listSeries de tiempo.
series_mergeSeries merge
series_var_cvarValue at Risk and Conditional Value at risk.
spot_simul_multStates simulation by Geometric Brownian Motion
state_simulState simulation by Geometric Brownian Motion
state_simul_multStates simulation by Geometric Brownian Motion
sum_weigthsUtility function
transaction_costsTransaction costs
uni_ts_forecastUnivariate time series forecast
utility_funObjective function
utility_fun_deObjective function
var_cvarValue at Risk and Conditional Value at risk.
veldanie/SuraInvestmentAnalytics documentation built on Nov. 13, 2019, 11:25 p.m.