Functions for the practical management of financial portfolios: backtesting investment and trading strategies, computing profit-and-loss and returns, analysing trades, reporting, and more.
The aim of PMwR is to provide a small set of reliable, efficient and convenient tools that help in processing and analysing trade/portfolio data. The Manual provides all the details; it is available from http://enricoschumann.net/PMwR/.
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-375662-6
Schumann, E. (2019) Portfolio Management with R. http://enricoschumann.net/PMwR/