Package: FRAPO 0.4-1
FRAPO: Financial Risk Modelling and Portfolio Optimisation with R
Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.
Authors:
FRAPO_0.4-1.tar.gz
FRAPO_0.4-1.zip(r-4.5)FRAPO_0.4-1.zip(r-4.4)FRAPO_0.4-1.zip(r-4.3)
FRAPO_0.4-1.tgz(r-4.4-any)FRAPO_0.4-1.tgz(r-4.3-any)
FRAPO_0.4-1.tar.gz(r-4.5-noble)FRAPO_0.4-1.tar.gz(r-4.4-noble)
FRAPO_0.4-1.tgz(r-4.4-emscripten)FRAPO_0.4-1.tgz(r-4.3-emscripten)
FRAPO.pdf |FRAPO.html✨
FRAPO/json (API)
| # Install 'FRAPO' in R: |
| install.packages('FRAPO', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/bpfaff/frapo/issues
Datasets:
- ESCBFX - ESCB FX Reference Rates
- EuroStoxx50 - EURO STOXX 50
- FTSE100 - FTSE 100
- INDTRACK1 - INDTRACK1: Hang Seng Index and Constituents
- INDTRACK2 - INDTRACK2: DAX 100 Index and Constituents
- INDTRACK3 - INDTRACK3: FTSE 100 Index and Constituents
- INDTRACK4 - INDTRACK4: S&P 100 Index and Constituents
- INDTRACK5 - INDTRACK5: Nikkei 225 Index and Constituents
- INDTRACK6 - INDTRACK6: S&P 500 Index and Constituents
- MIBTEL - Milano Indice Borsa Telematica
- MultiAsset - Multi Asset Index Data
- NASDAQ - NASDAQ
- SP500 - Standard & Poor's 500
- StockIndex - Stock Index Data
- StockIndexAdj - Stock Index Data
- StockIndexAdjD - Stock Index Data
Last updated 8 years agofrom:f897bc1c48. Checks:OK: 1 NOTE: 6. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-win | NOTE | Oct 31 2024 |
| R-4.5-linux | NOTE | Oct 31 2024 |
| R-4.4-win | NOTE | Oct 31 2024 |
| R-4.4-mac | NOTE | Oct 31 2024 |
| R-4.3-win | NOTE | Oct 31 2024 |
| R-4.3-mac | NOTE | Oct 31 2024 |
Exports:capsercrdrDrawDownseditExlistExmrcPAveDDPCDaRPERCPGMVplotPMaxDDPMDPMinCDaRPMTDreturnconvertreturnseriesrhowrunExsaveExshowshowExSolutionsqrmtdctrdbilsontrdbinarytrdestrdhptrdsmatrdwmaupdateWeights
Dependencies:cccpRcppRcppArmadilloRglpkslamtimeDatetimeSeries
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Utility functions for handling book examples | BookEx editEx listEx runEx saveEx showEx |
| Capping a series to bounds | capser capser,data.frame-method capser,matrix-method capser,mts-method capser,numeric-method capser,timeSeries-method capser,ts-method capser-methods |
| Diversification Measures | cr dr rhow |
| ESCB FX Reference Rates | ESCBFX |
| EURO STOXX 50 | EuroStoxx50 |
| FTSE 100 | FTSE100 |
| INDTRACK1: Hang Seng Index and Constituents | INDTRACK1 |
| INDTRACK2: DAX 100 Index and Constituents | INDTRACK2 |
| INDTRACK3: FTSE 100 Index and Constituents | INDTRACK3 |
| INDTRACK4: S&P 100 Index and Constituents | INDTRACK4 |
| INDTRACK5: Nikkei 225 Index and Constituents | INDTRACK5 |
| INDTRACK6: S&P 500 Index and Constituents | INDTRACK6 |
| Milano Indice Borsa Telematica | MIBTEL |
| Marginal Contribution to Risk | mrc |
| Multi Asset Index Data | MultiAsset |
| NASDAQ | NASDAQ |
| Portfolio optimisation with average draw down constraint | PAveDD |
| Portfolio optimisation with conditional draw down at risk constraint | PCDaR |
| Equal risk contributed portfolios | PERC |
| Global Minimum Variance Portfolio | PGMV |
| Methods for Function 'plot' in Package 'graphics' | plot,PortDD-method plot-methods |
| Portfolio optimisation with maximum draw down constraint | PMaxDD |
| Most Diversified Portfolio | PMD |
| Portfolio optimisation for minimum conditional draw down at risk | PMinCDaR |
| Minimum Tail Dependent Portfolio | PMTD |
| Class '"PortAdd"' | PortAdd-class |
| Class '"PortCdd"' | PortCdd-class |
| Class '"PortDD"' | DrawDowns DrawDowns,PortDD-method plot plot,PortDD,missing-method PortDD-class |
| Class '"PortMdd"' | PortMdd-class |
| Class '"PortSol"' | PortSol-class show,PortSol-method Solution Solution,PortSol-method update,PortSol-method Weights Weights,PortSol-method |
| Convert Returns from continuous to discrete and vice versa | returnconvert returnconvert,data.frame-method returnconvert,matrix-method returnconvert,mts-method returnconvert,numeric-method returnconvert,timeSeries-method returnconvert,ts-method returnconvert-methods |
| Continuous and discrete returns | returnseries returnseries,data.frame-method returnseries,matrix-method returnseries,mts-method returnseries,numeric-method returnseries,timeSeries-method returnseries,ts-method returnseries-methods |
| Standard & Poor's 500 | SP500 |
| Square root of a quadratic matrix | sqrm |
| Stock Index Data | StockIndex |
| Stock Index Data | StockIndexAdj |
| Stock Index Data | StockIndexAdjD |
| Tail Dependence Coefficient | tdc |
| Bilson Trend | trdbilson trdbilson,data.frame-method trdbilson,matrix-method trdbilson,mts-method trdbilson,numeric-method trdbilson,timeSeries-method trdbilson,ts-method trdbilson-methods |
| Binary Trend | trdbinary trdbinary,data.frame-method trdbinary,matrix-method trdbinary,mts-method trdbinary,numeric-method trdbinary,timeSeries-method trdbinary,ts-method trdbinary-methods |
| Exponentially Smoothed Trend | trdes trdes,data.frame-method trdes,matrix-method trdes,mts-method trdes,numeric-method trdes,timeSeries-method trdes,ts-method trdes-methods |
| Hodrick-Prescott Filter | trdhp trdhp,data.frame-method trdhp,matrix-method trdhp,mts-method trdhp,numeric-method trdhp,timeSeries-method trdhp,ts-method trdhp-methods |
| Simple Moving Average | trdsma trdsma,data.frame-method trdsma,matrix-method trdsma,mts-method trdsma,numeric-method trdsma,timeSeries-method trdsma,ts-method trdsma-methods |
| Weighted Moving Average | trdwma trdwma,data.frame-method trdwma,matrix-method trdwma,mts-method trdwma,numeric-method trdwma,timeSeries-method trdwma,ts-method trdwma-methods |
