FactorAnalytics: Functions for performing factor analysis on financial time series

A package of functions that may be used to perform various factor analyses on financial time series. The package includes functions that calculate style weights using an asset class style model as described in detail in Sharpe (1992). The use of quadratic programming to determine a fund's exposures to the changes in returns of major asset classes is usually refered to as "style analysis".

Getting started

Package details

AuthorPeter Carl, Brian G. Peterson, Eric Zivot
MaintainerBrian G. Peterson <brian@braverock.com>
URL http://braverock.com/R/
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("FactorAnalytics", repos="http://R-Forge.R-project.org")

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FactorAnalytics documentation built on May 2, 2019, 5:25 p.m.