RPEIF v1.0

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Computation and Plots of Influence Functions for Risk and Performance Measures

Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Zhang and Martin (2017) <https://ssrn.com/abstract=2747179> as well as Chen and Martin (2018) <https://ssrn.com/abstract=3085672>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.

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RPEIF

This package provides functions for computing the influence functions of risk and performance measures.


Installation

You can install the stable version on R CRAN.

install.packages("RPEIF", dependencies = TRUE)

You can install the development version from GitHub.

library(devtools)
devtools::install_github("AnthonyChristidis/RPEIF")

Usage

# Sample Code
library(RPEIF)
# Computing the IF of the returns (with outlier cleaning and prewhitening)
# Loading the data
data(edhec, package="PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF")
outIF <- IF(risk="mean",
            returns=edhec[,"CA"], evalShape=FALSE, retVals=NULL, nuisPars=NULL,
            IFplot=TRUE, IFprint=TRUE,
            compile=TRUE, prewhiten=TRUE,
            cleanOutliers=TRUE, cleanMethod=c("locScaleRob", "Boudt")[1], eff=0.99, alpha.robust=0.05)

License

This package is free and open source software, licensed under GPL (>= 2).

Functions in RPEIF

Name Description
IF.RachR Influence Function - Rachev Ratio
IF Influence Function for Available Risk Measures
IF.ESratio Influence Function - Expected Shortfall (ES) Ratio
IF.VaRratio Influence Function - Value at Risk (VaR) Ratio
IF.ES Influence Function - Expected Shortfall (ES)
IF.VaR Influence Function - Value at Risk (VaR)
IF.mean Influence Function - Mean
nuisParsFn Nuisance Parameters Computation
IF.Omega Influence Function - Omega Ratio
IF.SSD Influence Function - Semi-Standard Deviation (SSD)
IF.SR Influence Function - Sharpe Ratio (SR)
IF.SD Influence Function - Standard Deviation
IF.SoR Influence Function - Sortino Ratio
IF.LPM Influence Function - Lower Partial Moment (LPM)
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Vignettes of RPEIF

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RPEIFVignette.pdf.asis
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Details

Type Package
Date 2019-06-30
License GPL (>= 2)
Biarch true
LinkingTo Rcpp, RcppArmadillo
RoxygenNote 6.1.1
VignetteBuilder R.rsp
NeedsCompilation yes
LazyData true
Packaged 2019-07-02 23:38:56 UTC; antho
Repository CRAN
Date/Publication 2019-07-03 16:20:07 UTC

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