Man pages for veldanie/SuraInvestmentAnalytics
Investment Analytics
| approx_dret_dw | Estimates derivative of portfolio volatility w.r.t. w. |
| approx_dsharpe_dw | Estimates derivative of portfolio volatility w.r.t. w. |
| approx_dvol_dw | Estimates derivative of portfolio volatility w.r.t. w. |
| asset_data | Información de activos. |
| asset_universe | Asset Universe |
| benchmarks | Benchmarks. |
| cash_conv | Cash converter. |
| complete_index_series | Index Series |
| cond_drawdown | Conditional Drawdown |
| covar | Covariance matrix and volatilities. |
| covar_weight | Covariance matrix and volatilities using weighted averages. |
| drawdown | Drawdown Returns returns |
| efficient_frontier | Efficient frontier. |
| fx_cross | fx_cross. |
| hedged_return | Hedged_return. |
| implied_return | Equilibrium returns |
| index_series | Index Series |
| iso_quote | ISO quote |
| max_drawdown | Max Drawdown Return |
| my_panel | my_panel |
| neg_rets_perc | Negative returns percentage in horizon. |
| optimal_contrib | optimal contribution to reach target. |
| optimal_contrib_uniroot | optimal contribution to reach target. |
| optim_portfolio | Optimal portfolio. |
| optim_portfolio_resamp | Optimal portfolio. |
| params_simul | Mean vector and Covariance matrix. |
| pe_consol | PE Consol. |
| pe_t | PE at time ti. |
| portfolio_backtest | Porfolio backtest |
| portfolio_fx_hedge | Porfolio fx hedge |
| portfolio_return | Porfolio return |
| portfolios_units_values | Portfolio unit values |
| port_limits | Estimates lower and upper limits of portfolio. |
| port_return | Porfolio returns |
| port_simul | Portfolio values. |
| posterior_params | Black Litterman posterior mean and variance. |
| pr_hw_simul | Simulated prices within the hull-white model, |
| private_equity_simul | PE simulation. |
| private_equity_simul_const_contrib | PE simulation. |
| pr_simul_trans | Mean vector and Covariance matrix. |
| returns | Returns |
| risk_atrib | Estimates risk attributions per factor for volatility, VaR... |
| risk_fun | Risk functional |
| series_drawdown | Drawdown Returns returns |
| series_fxfwd_list | Series de tiempo fx forward. |
| series_list | Series de tiempo. |
| series_merge | Series merge |
| series_var_cvar | Value at Risk and Conditional Value at risk. |
| spot_simul_mult | States simulation by Geometric Brownian Motion |
| state_simul | State simulation by Geometric Brownian Motion |
| state_simul_mult | States simulation by Geometric Brownian Motion |
| sum_weigths | Utility function |
| transaction_costs | Transaction costs |
| uni_ts_forecast | Univariate time series forecast |
| utility_fun | Objective function |
| utility_fun_de | Objective function |
| var_cvar | Value at Risk and Conditional Value at risk. |
