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Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
Package details |
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Author | Eric Zivot, Sangeetha Srinivasan and Yi-An Chen |
Maintainer | Sangeetha Srinivasan <sangee@uw.edu> |
License | GPL-2 |
Version | 2.0.36 |
URL | http://r-forge.r-project.org/projects/returnanalytics/ |
Package repository | View on R-Forge |
Installation |
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