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.
Version: 1.2 Depends: R (≥ 4.0.0) Imports: PerformanceAnalytics, PortfolioAnalytics, boot, methods, xts, zoo, lattice, corpcor, data.table, quadprog, RobStatTM, robustbase, R.cache Suggests: R.rsp Published: 2023-08-30 DOI: 10.32614/CRAN.package.PCRA Author: Doug Martin [cre, aut], Alexios Galanos [ctb], Kirk Li [aut, ctb], Jon Spinney [ctb], Thomas Philips [ctb] Maintainer: Doug Martin <martinrd3d at gmail.com> License: GPL-2 Copyright: (c) 2022-2023 NeedsCompilation: no Materials: README CRAN checks: PCRA results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=PCRA to link to this page.
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