RelValAnalysis (version 1.0)

RelValAnalysis-package: The RelValAnalysis Package

Description

Classes and functions for analyzing the performance of portfolios relative to a benchmark.

Details

Package:

RelValAnalysis

Type:

Package

Version:

1.0

Date:

2014-06-25

License:

GPL-2 | GPL-3

References

Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.

Karatzas, I. and R. Fernholz (2009). Stochastic portfolio theory: an overview. Handbook of numerical analysis 15, 89-167.

Pal, S. and T.-K. L. Wong (2013). Energy, entropy, and arbitrage. arXiv preprint arXiv:1308.5376.

Pal, S. and T.-K. L. Wong (2014). The geometry of relative arbitrage. arXiv preprint arXiv:1402.3720.