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

Files in this package

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

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