RiskBasedPortfolios: Computation of risk-based portfolios

Provides functions to estimate covariance matrices and compute risk-based portfolios

Author
David Ardia, Kris Boudt and Jean-Philippe Gagnon-Fleury
Date of publication
2015-09-18 20:30:47
Maintainer
David Ardia <david.ardia@fsa.ulaval.ca>
License
GPL (>=2)
Version
2.01.00

View on R-Forge

Man pages

covEstimation
Covariance matrix estimation
impliedReturns
Implied returns estimation
meanEstimation
Estimation of mean returns
optimalPortfolio
Optimital portfolio
semidevEstimation
Estimation of the semideviation

Files in this package

RiskBasedPortfolios/COPYING
RiskBasedPortfolios/DESCRIPTION
RiskBasedPortfolios/NAMESPACE
RiskBasedPortfolios/NEWS
RiskBasedPortfolios/R
RiskBasedPortfolios/R/covEstimation.R
RiskBasedPortfolios/R/impliedReturns.R
RiskBasedPortfolios/R/meanEstimation.R
RiskBasedPortfolios/R/optimalPortfolio.R
RiskBasedPortfolios/R/semidevEstimation.R
RiskBasedPortfolios/inst
RiskBasedPortfolios/inst/CITATION
RiskBasedPortfolios/inst/COPYRIGHTS
RiskBasedPortfolios/man
RiskBasedPortfolios/man/covEstimation.Rd
RiskBasedPortfolios/man/impliedReturns.Rd
RiskBasedPortfolios/man/meanEstimation.Rd
RiskBasedPortfolios/man/optimalPortfolio.Rd
RiskBasedPortfolios/man/semidevEstimation.Rd