FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.

AuthorBernhard Pfaff [aut, cre]
Date of publication2016-12-07 21:00:53
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 3)
Version0.4-1

View on R-Forge

Man pages

BookEx: Utility functions for handling book examples

capser: Capping a series to bounds

DivRatios: Diversification Measures

ESCBFX: ESCB FX Reference Rates

EuroStoxx50: EURO STOXX 50

FTSE100: FTSE 100

INDTRACK1: INDTRACK1: Hang Seng Index and Constituents

INDTRACK2: INDTRACK2: DAX 100 Index and Constituents

INDTRACK3: INDTRACK3: FTSE 100 Index and Constituents

INDTRACK4: INDTRACK4: S&P 100 Index and Constituents

INDTRACK5: INDTRACK5: Nikkei 225 Index and Constituents

INDTRACK6: INDTRACK6: S&P 500 Index and Constituents

MIBTEL: Milano Indice Borsa Telematica

mrc: Marginal Contribution to Risk

MultiAsset: Multi Asset Index Data

NASDAQ: NASDAQ

PAveDD: Portfolio optimisation with average draw down constraint

PCDaR: Portfolio optimisation with conditional draw down at risk...

PERC: Equal risk contributed portfolios

PGMV: Global Minimum Variance Portfolio

plot-methods: Methods for Function 'plot' in Package 'graphics'

PMaxDD: Portfolio optimisation with maximum draw down constraint

PMD: Most Diversified Portfolio

PMinCDaR: Portfolio optimisation for minimum conditional draw down at...

PMTD: Minimum Tail Dependent Portfolio

PortAdd-class: Class '"PortAdd"'

PortCdd-class: Class '"PortCdd"'

PortDD-class: Class '"PortDD"'

PortMdd-class: Class '"PortMdd"'

PortSol-class: Class '"PortSol"'

returnconvert: Convert Returns from continuous to discrete and vice versa

returnseries: Continuous and discrete returns

SP500: Standard & Poor's 500

sqrm: Square root of a quadratic matrix

StockIndex: Stock Index Data

StockIndexAdj: Stock Index Data

StockIndexAdjD: Stock Index Data

tdc: Tail Dependence Coefficient

trdbilson: Bilson Trend

trdbinary: Binary Trend

trdes: Exponentially Smoothed Trend

trdhp: Hodrick-Prescott Filter

trdsma: Simple Moving Average

trdwma: Weighted Moving Average

Functions

BookEx Man page
capser Man page
capser,data.frame-method Man page
capser,matrix-method Man page
capser-methods Man page
capser,mts-method Man page
capser,numeric-method Man page
capser,timeSeries-method Man page
capser,ts-method Man page
cr Man page
dr Man page
DrawDowns Man page
DrawDowns,PortDD-method Man page
editEx Man page
ESCBFX Man page
EuroStoxx50 Man page
FTSE100 Man page
INDTRACK1 Man page
INDTRACK2 Man page
INDTRACK3 Man page
INDTRACK4 Man page
INDTRACK5 Man page
INDTRACK6 Man page
listEx Man page
MIBTEL Man page
mrc Man page
MultiAsset Man page
NASDAQ Man page
PAveDD Man page
PCDaR Man page
PERC Man page
PGMV Man page
plot Man page
plot-methods Man page
plot,PortDD-method Man page
plot,PortDD,missing-method Man page
PMaxDD Man page
PMD Man page
PMinCDaR Man page
PMTD Man page
PortAdd-class Man page
PortCdd-class Man page
PortDD-class Man page
PortMdd-class Man page
PortSol-class Man page
returnconvert Man page
returnconvert,data.frame-method Man page
returnconvert,matrix-method Man page
returnconvert-methods Man page
returnconvert,mts-method Man page
returnconvert,numeric-method Man page
returnconvert,timeSeries-method Man page
returnconvert,ts-method Man page
returnseries Man page
returnseries,data.frame-method Man page
returnseries,matrix-method Man page
returnseries-methods Man page
returnseries,mts-method Man page
returnseries,numeric-method Man page
returnseries,timeSeries-method Man page
returnseries,ts-method Man page
rhow Man page
runEx Man page
saveEx Man page
showEx Man page
show,PortSol-method Man page
Solution Man page
Solution,PortSol-method Man page
SP500 Man page
sqrm Man page
StockIndex Man page
StockIndexAdj Man page
StockIndexAdjD Man page
tdc Man page
trdbilson Man page
trdbilson,data.frame-method Man page
trdbilson,matrix-method Man page
trdbilson-methods Man page
trdbilson,mts-method Man page
trdbilson,numeric-method Man page
trdbilson,timeSeries-method Man page
trdbilson,ts-method Man page
trdbinary Man page
trdbinary,data.frame-method Man page
trdbinary,matrix-method Man page
trdbinary-methods Man page
trdbinary,mts-method Man page
trdbinary,numeric-method Man page
trdbinary,timeSeries-method Man page
trdbinary,ts-method Man page
trdes Man page
trdes,data.frame-method Man page
trdes,matrix-method Man page
trdes-methods Man page
trdes,mts-method Man page
trdes,numeric-method Man page
trdes,timeSeries-method Man page
trdes,ts-method Man page
trdhp Man page
trdhp,data.frame-method Man page
trdhp,matrix-method Man page
trdhp-methods Man page
trdhp,mts-method Man page
trdhp,numeric-method Man page
trdhp,timeSeries-method Man page
trdhp,ts-method Man page
trdsma Man page
trdsma,data.frame-method Man page
trdsma,matrix-method Man page
trdsma-methods Man page
trdsma,mts-method Man page
trdsma,numeric-method Man page
trdsma,timeSeries-method Man page
trdsma,ts-method Man page
trdwma Man page
trdwma,data.frame-method Man page
trdwma,matrix-method Man page
trdwma-methods Man page
trdwma,mts-method Man page
trdwma,numeric-method Man page
trdwma,timeSeries-method Man page
trdwma,ts-method Man page
update,PortSol-method Man page
Weights Man page
Weights,PortSol-method Man page

Files

DESCRIPTION
NAMESPACE
R
R/AllClasses.R R/AllGenerics.R R/BookEx.R R/DivRatios.R R/PAveDD.R R/PCDaR.R R/PERC.R R/PGMV.R R/PMD.R R/PMTD.R R/PMaxDD.R R/PMinCDaR.R R/capser.R R/methods-PortDD.R R/methods-PortSol.R R/mrc.R R/returnconvert.R R/returnseries.R R/sqrm.R R/tdc.R R/trdbilson.R R/trdbinary.R R/trdes.R R/trdhp.R R/trdsma.R R/trdwma.R R/zzz.R
data
data/ESCBFX.rda
data/EuroStoxx50.rda
data/FTSE100.rda
data/INDTRACK1.rda
data/INDTRACK2.rda
data/INDTRACK3.rda
data/INDTRACK4.rda
data/INDTRACK5.rda
data/INDTRACK6.rda
data/MIBTEL.rda
data/MultiAsset.rda
data/NASDAQ.rda
data/SP500.rda
data/StockIndex.rda
data/StockIndexAdj.rda
data/StockIndexAdjD.rda
data/datalist
inst
inst/BeasleyLicence
inst/BookEx
inst/BookEx/C10R1.R inst/BookEx/C10R10.R inst/BookEx/C10R2.R inst/BookEx/C10R3.R inst/BookEx/C10R4.R inst/BookEx/C10R5.R inst/BookEx/C10R6.R inst/BookEx/C10R7.R inst/BookEx/C10R8.R inst/BookEx/C10R9.R inst/BookEx/C11R1.R inst/BookEx/C11R2.R inst/BookEx/C11R3.R inst/BookEx/C11R4.R inst/BookEx/C11R5.R inst/BookEx/C11R6.R inst/BookEx/C12R1.R inst/BookEx/C12R10.R inst/BookEx/C12R2.R inst/BookEx/C12R3.R inst/BookEx/C12R4.R inst/BookEx/C12R5.R inst/BookEx/C12R6.R inst/BookEx/C12R7.R inst/BookEx/C12R8.R inst/BookEx/C12R9.R inst/BookEx/C13R1.R inst/BookEx/C13R10.R inst/BookEx/C13R11.R inst/BookEx/C13R12.R inst/BookEx/C13R13.R inst/BookEx/C13R14.R inst/BookEx/C13R15.R inst/BookEx/C13R16.R inst/BookEx/C13R17.R inst/BookEx/C13R18.R inst/BookEx/C13R19.R inst/BookEx/C13R2.R inst/BookEx/C13R3.R inst/BookEx/C13R4.R inst/BookEx/C13R5.R inst/BookEx/C13R6.R inst/BookEx/C13R7.R inst/BookEx/C13R8.R inst/BookEx/C13R9.R inst/BookEx/C14R1.R inst/BookEx/C14R2.R inst/BookEx/C14R3.R inst/BookEx/C14R4.R inst/BookEx/C14R5.R inst/BookEx/C14R6.R inst/BookEx/C14R7.R inst/BookEx/C14R8.R inst/BookEx/C14R9.R
inst/BookEx/C14S1.stan
inst/BookEx/C2R1.R inst/BookEx/C3R1.R inst/BookEx/C3R2.R inst/BookEx/C6R1.R inst/BookEx/C6R2.R inst/BookEx/C6R3.R inst/BookEx/C6R4.R inst/BookEx/C6R5.R inst/BookEx/C7R1.R inst/BookEx/C7R2.R inst/BookEx/C7R3.R inst/BookEx/C7R4.R inst/BookEx/C8R1.R inst/BookEx/C9R1.R inst/BookEx/C9R2.R
inst/CITATION
man
man/BookEx.Rd man/DivRatios.Rd man/ESCBFX.Rd man/EuroStoxx50.Rd man/FTSE100.Rd man/INDTRACK1.Rd man/INDTRACK2.Rd man/INDTRACK3.Rd man/INDTRACK4.Rd man/INDTRACK5.Rd man/INDTRACK6.Rd man/MIBTEL.Rd man/MultiAsset.Rd man/NASDAQ.Rd man/PAveDD.Rd man/PCDaR.Rd man/PERC.Rd man/PGMV.Rd man/PMD.Rd man/PMTD.Rd man/PMaxDD.Rd man/PMinCDaR.Rd man/PortAdd-class.Rd man/PortCdd-class.Rd man/PortDD-class.Rd man/PortMdd-class.Rd man/PortSol-class.Rd man/SP500.Rd man/StockIndex.Rd man/StockIndexAdj.Rd man/StockIndexAdjD.Rd man/capser.Rd man/mrc.Rd man/plot-methods.Rd man/returnconvert.Rd man/returnseries.Rd man/sqrm.Rd man/tdc.Rd man/trdbilson.Rd man/trdbinary.Rd man/trdes.Rd man/trdhp.Rd man/trdsma.Rd man/trdwma.Rd

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