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FRAPO (version 0.3-7)

Financial Risk Modelling and Portfolio Optimisation with R

Description

Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R'. The data sets used in the book are contained in this package.

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Version

Install

install.packages('FRAPO')

Monthly Downloads

359

Version

0.3-7

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

June 8th, 2013

Functions in FRAPO (0.3-7)

PGMV

Global Minimum Variance Portfolio
PMTD

Minimum Tail Dependent Portfolio
PortMdd-class

Class "PortMdd"
sqrm

Square root of a quadratic matrix
MIBTEL

Milano Indice Borsa Telematica
PAveDD

Portfolio optimisation with average draw down constraint
plot-methods

Methods for Function plot in Package graphics
returnseries

Continuous and discrete returns
ESCBFX

ESCB FX Reference Rates
PortCdd-class

Class "PortCdd"
trdbilson

Bilson Trend
INDTRACK4

INDTRACK4: S&P 100 Index and Constituents
trdhp

Hodrick-Prescott Filter
PERC2

Equal risk contributed portfolios (alternative)
PortSol-class

Class "PortSol"
SocpPhase1

SOCP: Initialising objective variable x in primal form
capser

Capping a series to bounds
PMinCDaR

Portfolio optimisation for minimum conditional draw down at risk
PortAdd-class

Class "PortAdd"
FTSE100

FTSE 100
INDTRACK2

INDTRACK2: DAX 100 Index and Constituents
SP500

Standard & Poor's 500
PERC

Equal risk contributed portfolios
trdwma

Weighted Moving Average
PCDaR

Portfolio optimisation with conditional draw down at risk constraint
trdbinary

Binary Trend
BookEx

Utility functions for handling book examples
PMD

Most Diversified Portfolio
SocpControl

Control Variables for Socp
mrc

Marginal Contribution to Risk
DivMeasures

Diversification Measures
returnconvert

Convert Returns from continuous to discrete and vice versa
trdes

Exponentially Smoothed Trend
StockIndexAdj

Stock Index Data
tdc

Tail Dependence Coefficient
INDTRACK6

INDTRACK6: S&P 500 Index and Constituents
PortDD-class

Class "PortDD"
INDTRACK1

INDTRACK1: Hang Seng Index and Constituents
INDTRACK3

INDTRACK3: FTSE 100 Index and Constituents
StockIndex

Stock Index Data
NASDAQ

NASDAQ
INDTRACK5

INDTRACK5: Nikkei 225 Index and Constituents
Socp

Second-order Cone Programming
trdsma

Simple Moving Average
MultiAsset

Multi Asset Index Data
EuroStoxx50

EURO STOXX 50
PMaxDD

Portfolio optimisation with maximum draw down constraint
SocpPhase2

SOCP: Initialising objective variable z in dual form
StockIndexAdjD

Stock Index Data