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FRAPO (version 0.4-2)

Financial Risk Modelling and Portfolio Optimisation with R

Description

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

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Version

Install

install.packages('FRAPO')

Monthly Downloads

1,206

Version

0.4-2

License

GPL (>= 3)

Maintainer

Bernhard Pfaff

Last Published

January 25th, 2026

Functions in FRAPO (0.4-2)

NASDAQ

NASDAQ
PortDD-class

Class "PortDD"
PortMdd-class

Class "PortMdd"
trdbinary

Binary Trend
trdbilson

Bilson Trend
plot-methods

Methods for Function plot in Package graphics
PMaxDD

Portfolio optimisation with maximum draw down constraint
returnseries

Continuous and discrete returns
mrc

Marginal Contribution to Risk
PMinCDaR

Portfolio optimisation for minimum conditional draw down at risk
returnconvert

Convert Returns from continuous to discrete and vice versa
INDTRACK6

INDTRACK6: S&P 500 Index and Constituents
MIBTEL

Milano Indice Borsa Telematica
SP500

Standard & Poor's 500
PortSol-class

Class "PortSol"
StockIndexAdjD

Stock Index Data
trdwma

Weighted Moving Average
trdsma

Simple Moving Average
PMD

Most Diversified Portfolio
PortCdd-class

Class "PortCdd"
PMTD

Minimum Tail Dependent Portfolio
PortAdd-class

Class "PortAdd"
trdhp

Hodrick-Prescott Filter
capser

Capping a series to bounds
trdes

Exponentially Smoothed Trend
tdc

Tail Dependence Coefficient
StockIndex

Stock Index Data
StockIndexAdj

Stock Index Data
sqrm

Square root of a quadratic matrix
BookEx

Utility functions for handling book examples
FTSE100

FTSE 100
INDTRACK2

INDTRACK2: DAX 100 Index and Constituents
DivMeasures

Diversification Measures
INDTRACK1

INDTRACK1: Hang Seng Index and Constituents
EuroStoxx50

EURO STOXX 50
ESCBFX

ESCB FX Reference Rates
PERC

Equal risk contributed portfolios
PGMV

Global Minimum Variance Portfolio
MultiAsset

Multi Asset Index Data
INDTRACK3

INDTRACK3: FTSE 100 Index and Constituents
INDTRACK4

INDTRACK4: S&P 100 Index and Constituents
INDTRACK5

INDTRACK5: Nikkei 225 Index and Constituents
PAveDD

Portfolio optimisation with average draw down constraint
PCDaR

Portfolio optimisation with conditional draw down at risk constraint