Package: PCRA 1.2

PCRA: Companion to Portfolio Construction and Risk Analysis

A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.

Authors:Doug Martin [cre, aut], Alexios Galanos [ctb], Kirk Li [aut, ctb], Jon Spinney [ctb], Thomas Philips [ctb]

PCRA_1.2.tar.gz
PCRA_1.2.zip(r-4.5)PCRA_1.2.zip(r-4.4)PCRA_1.2.zip(r-4.3)
PCRA_1.2.tgz(r-4.4-any)PCRA_1.2.tgz(r-4.3-any)
PCRA_1.2.tar.gz(r-4.5-noble)PCRA_1.2.tar.gz(r-4.4-noble)
PCRA_1.2.tgz(r-4.4-emscripten)PCRA_1.2.tgz(r-4.3-emscripten)
PCRA.pdf |PCRA.html✨
PCRA/json (API)

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

30 exports 0.09 score 34 dependencies 81 scripts 513 downloads

Last updated 1 years agofrom:0f1ff59b01. Checks:OK: 3 NOTE: 4. Indexed: yes.

Exports:barplotWtsbootEfrontschart.EfrontcleanOutliersdivHHIellipsesPlotPCRA.covfmgetPCRADataKRestlevgLongShortmathEfrontmathEfrontCashRiskymathEfrontRiskymathEfrontRiskyMuCovmathGmvmathGmvMuCovmathTportmathWtsEfrontRiskymathWtsEfrontRiskyMuCovmeanReturns4Typesopt.outputMvoPCRAplotLSandRobustSFMqqnormDatWindatreturnsCRSPxtsselectCRSPandSPGMISKeststocksCRSPxtstsPlotMPturnOverwinsorizewinsorMean

Dependencies:backportsbootcheckmatecodetoolscorpcordata.tableDEoptimRdigestforeachGenSAiteratorslatticemcomvtnormpcaPPPerformanceAnalyticsPortfolioAnalyticspsopyinitquadprogR.cacheR.methodsS3R.ooR.utilsregistryRobStatTMrobustbaseROIROI.plugin.symphonyrrcovRsymphonyslamxtszoo