RiskBasedPortfolios: Computation of risk-based portfolios
Version 2.01.00

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

AuthorDavid Ardia, Kris Boudt and Jean-Philippe Gagnon-Fleury
Date of publication2015-09-18 20:30:47
MaintainerDavid Ardia <david.ardia@fsa.ulaval.ca>
LicenseGPL (>=2)
Version2.01.00
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("RiskBasedPortfolios", repos="http://R-Forge.R-project.org")

Popular man pages

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

All man pages Function index File listing

Man pages

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

Functions

blImpliedReturns Source code
bsCov Source code
bsMean Source code
constCov Source code
constraintImpliedReturns Source code
corCov Source code
covEstimation Man page Source code
ctrCov Source code
ctrImpliedReturns Source code
ctrMean Source code
ctrPortfolio Source code
ctrSemidev Source code
diagCov Source code
eqConstraint Source code
ercPortfolio Source code
ewmaCov Source code
ewmaMean Source code
ewmaSemiDev Source code
factorCov Source code
grossConstraint Source code
impliedReturns Man page Source code
largeCov Source code
lwCov Source code
lwCovElement Source code
martMean Source code
maxdivPortfolio Source code
meanEstimation Man page Source code
minvolPortfolio Source code
mvPortfolio Source code
naiveCov Source code
naiveMean Source code
naiveSemiDev Source code
nvvolPortfolio Source code
oneparmCov Source code
optimalPortfolio Man page Source code
regImpliedReturns Source code
riskeffPortfolio Source code
robregImpliedReturns Source code
semidevEstimation Man page Source code

Files

COPYING
DESCRIPTION
NAMESPACE
NEWS
R
R/covEstimation.R
R/impliedReturns.R
R/meanEstimation.R
R/optimalPortfolio.R
R/semidevEstimation.R
inst
inst/CITATION
inst/COPYRIGHTS
man
man/covEstimation.Rd
man/impliedReturns.Rd
man/meanEstimation.Rd
man/optimalPortfolio.Rd
man/semidevEstimation.Rd
RiskBasedPortfolios documentation built on May 21, 2017, 3:37 a.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.