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RelValAnalysis (version 1.0)
Relative Value Analysis
Description
Classes and functions for analyzing the performance of portfolios relative to a benchmark.
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Link to current version
Version
Version
1.0
Install
install.packages('RelValAnalysis')
Monthly Downloads
13
Version
1.0
License
GPL-2 | GPL-3
Maintainer
Ting-Kam Leonard Wong
Last Published
June 26th, 2014
Functions in RelValAnalysis (1.0)
Search all functions
plot.toymkt
Plotting Toy Market Objects
DiversityPortfolio
Diversity-weighted Portfolio
fgp
Functionally Generated Portfolio Objects
GetGroupWeight
Computing First and Second Level Portfolio Weights
RenyiEntropy
Renyi Entropy
AtlasModel
Atlas Model
Invest
Investing in a Toy Market
GeometricMean
Geometric Mean
GetWeight
Computing Portfolio Weights from a Weight Function
SimMarketModel
Simulating a Market Model
EntropyPortfolio
Entropy-weighted Portfolio
Diversity
Diversity
applestarbucks
Monthly Stock Prices of Apple and Starbucks from Jan 1994 to Apr 2012
FreeEnergy
Free Energy
ShannonEntropy
Shannon Entropy
CapDistSlope
Slope of a Capital Distribution Curve
RelativeEntropy
Relative Entropy
EnergyEntropyDecomp
Energy-entropy Decomposition
marketmodel
Market Model Objects
FernholzDecomp
Fernholz's Decomposition for a Buy-and-hold Toy Market
RelValAnalysis-package
The RelValAnalysis Package
toymkt
Toy Market Objects
plot.capdist
Plotting Captial Distribution Objects
print.fgp
Printing Functionally Generated Portfolio Objects
GetLambdaWeight
Portfolio Weights of the Lambda-strategy
print.toymkt
Printing Toy Market Object
VolStabModel
Volatility-Stabilized Model
print.marketmodel
Printing Market Model Object
capdist
Captial-distribution Objects
ParetoCapDist
Generating a Pareto Capital Distribution
ConstantPortfolio
Constant-weighted Portfolio
GetNewLambdaWeight
Portfolio Weights of the Lambda-strategy
EEControl
Control Term in the Energy-entropy Decomposition
print.capdist
Printing Capital Distribution Objects