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FRAPO (version 0.3-8)

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

0.3-8

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

June 18th, 2013

Functions in FRAPO (0.3-8)

PERC

Equal risk contributed portfolios
PortAdd-class

Class "PortAdd"
capser

Capping a series to bounds
INDTRACK3

INDTRACK3: FTSE 100 Index and Constituents
PERC2

Equal risk contributed portfolios (alternative)
ESCBFX

ESCB FX Reference Rates
StockIndexAdjD

Stock Index Data
BookEx

Utility functions for handling book examples
DivMeasures

Diversification Measures
PMinCDaR

Portfolio optimisation for minimum conditional draw down at risk
SocpPhase1

SOCP: Initialising objective variable x in primal form
NASDAQ

NASDAQ
Socp

Second-order Cone Programming
PortDD-class

Class "PortDD"
plot-methods

Methods for Function plot in Package graphics
INDTRACK5

INDTRACK5: Nikkei 225 Index and Constituents
PMD

Most Diversified Portfolio
trdes

Exponentially Smoothed Trend
returnconvert

Convert Returns from continuous to discrete and vice versa
INDTRACK4

INDTRACK4: S&P 100 Index and Constituents
trdbinary

Binary Trend
SP500

Standard & Poor's 500
trdbilson

Bilson Trend
INDTRACK1

INDTRACK1: Hang Seng Index and Constituents
FTSE100

FTSE 100
EuroStoxx50

EURO STOXX 50
trdwma

Weighted Moving Average
MultiAsset

Multi Asset Index Data
PortSol-class

Class "PortSol"
returnseries

Continuous and discrete returns
StockIndex

Stock Index Data
PortMdd-class

Class "PortMdd"
PCDaR

Portfolio optimisation with conditional draw down at risk constraint
sqrm

Square root of a quadratic matrix
StockIndexAdj

Stock Index Data
SocpControl

Control Variables for Socp
PAveDD

Portfolio optimisation with average draw down constraint
PortCdd-class

Class "PortCdd"
MIBTEL

Milano Indice Borsa Telematica
SocpPhase2

SOCP: Initialising objective variable z in dual form
PMTD

Minimum Tail Dependent Portfolio
trdhp

Hodrick-Prescott Filter
tdc

Tail Dependence Coefficient
PGMV

Global Minimum Variance Portfolio
mrc

Marginal Contribution to Risk
PMaxDD

Portfolio optimisation with maximum draw down constraint
INDTRACK2

INDTRACK2: DAX 100 Index and Constituents
INDTRACK6

INDTRACK6: S&P 500 Index and Constituents
trdsma

Simple Moving Average