Portfolio: Portfolio Modelling, Optimization and Benchmarking
Description
A collection and description of functions for
portfolio modelling, pptimization and benchmarking.Details
Assets Modelling:
Functions for the analysis, simulation and parameter estimation
of financial assets.
Portfolio Optimization:
Functions for the optimization of portfolios including the mean-variance
Markowitz approach, "MV", the lower partial moment portfolio approach
"PM", and the conditional value-at-risk approach "CVaR".
Benchmarkung:
Functions for the scenario analysis, portfolio performance measures,
and benchmarking.