plotLSandRobustSFM

Plot of Least squares and robust single factor model (SFM) fits,
with outliers identified, and legend containing slope and intercept coefficient
estimates with standard errors in parentheses.

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

plotLSandRobustSFM function

<dl><dt>x</dt>
<dd>A univariate xts object.</dd>
<dt>family</dt>
<dd>Robust loss function choice with default mopt</dd>
<dt>efficiency</dt>
<dd>Estimator Normal distribution efficiency, default 0.95</dd>
<dt>mainText</dt>
<dd>Main title, if any.</dd>
<dt>ylimits</dt>
<dd>Vertical axis limits.</dd>
<dt>legendPos</dt>
<dd>Legend position.</dd>
<dt>makePct</dt>
<dd>Logical variable with default FALSE</dd></dl>

Arguments

Robust and Least Square Single Factor Model (SFM) Fits — plotLSandRobustSFM

<dl>

<dt>x</dt>
<dd>A univariate xts object.</dd>


<dt>family</dt>
<dd>Robust loss function choice with default mopt</dd>


<dt>efficiency</dt>
<dd>Estimator Normal distribution efficiency, default 0.95</dd>


<dt>mainText</dt>
<dd>Main title, if any.</dd>


<dt>ylimits</dt>
<dd>Vertical axis limits.</dd>


<dt>legendPos</dt>
<dd>Legend position.</dd>


<dt>makePct</dt>
<dd>Logical variable with default FALSE</dd>

</dl>

plotLSandRobustSFM: Robust and Least Square Single Factor Model (SFM) Fits

Description

Usage

Value

Arguments

Details

Examples