PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Canonical link: https://scholar.rpkg.net/pkg/PerformanceAnalytics

Brian G. Peterson • Peter Carl • Kris Boudt • Ross Bennett • Joshua Ulrich • Eric Zivot • Dries Cornilly • Eric Hung • Matthieu Lestel • Kyle Balkissoon • Diethelm Wuertz • Anthony Alexander Christidis • R. Douglas Martin • Zeheng 'Zenith' Zhou • Justin M. Shea • View description and downloads View dependencies GitHub project

2007 Published

2.0.4 Version

0 Citations

15 Authors

Referenced by ⇅	Year
treasuryTR: Generate Treasury Total Returns from Yield Data (Version 0.1.6)	2021
AssetAllocation: Backtesting Simple Asset Allocation Strategies (Version 1.1.1)	2022
Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk (Version 0.12)	2015
EPLSIM: Partial Linear Single Index Models for Environmental Mixture Analysis (Version 0.1.0)	2023
ExtDist: Extending the Range of Functions for Probability Distributions (Version 0.7-2)	2014
HeckmanEM: Fit Normal, Student-t or Contaminated Normal Heckman Selection Models (Version 0.2-1)	2020
PCRA: Companion to Portfolio Construction and Risk Analysis (Version 1.2)	2023
PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios (Version 1.1.0)	2015
RMOPI: Risk Management and Optimization for Portfolio Investment (Version 1.1)	2022
RPEGLMEN: Gamma and Exponential Generalized Linear Models with Elastic Net Penalty (Version 1.1.2)	2020
RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures (Version 1.2.4)	2019
RPESE: Estimates of Standard Errors for Risk and Performance Measures (Version 1.2.5)	2019
RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities (Version 1.3.5)	2020
SMNCensReg: Fitting Univariate Censored Regression Model Under the Family of Scale Mixture of Normal Distributions (Version 3.1)	2013
Semblance: A Data-Driven Similarity Kernel on Probability Spaces (Version 1.1.0)	2018
SlidingWindows: Methods for Time Series Analysis (Version 0.2.0)	2020
Statsomat: Shiny Apps for Automated Data Analysis and Automated Interpretation (Version 1.1.0)	2021
Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies (Version 3.0)	2016
cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions (Version 0.5)	2018
facmodCS: Cross-Section Factor Models (Version 1.0)	2023
facmodTS: Time Series Factor Models for Asset Returns (Version 1.0)	2023
highOrderPortfolios: Design of High-Order Portfolios Including Skewness and Kurtosis (Version 0.1.1)	2022
pbo: Probability of Backtest Overfitting (Version 1.3.5)	2014
pedquant: Public Economic Data and Quantitative Analysis (Version 0.2.4)	2019
portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets (Version 0.4.1)	2019
portsort: Factor-Based Portfolio Sorts (Version 0.1.0)	2018
quantdr: Dimension Reduction Techniques for Conditional Quantiles (Version 1.2.2)	2020
rmsfuns: Quickly View Data Frames in 'Excel', Build Folder Paths and Create Date Vectors (Version 1.0.0.1)	2017
scRNAtools: Single Cell RNA Sequencing Data Analysis Tools (Version 1.0)	2018
tbl2xts: Convert Tibbles or Data Frames to Xts Easily (Version 1.0.4)	2017
tidyquant: Tidy Quantitative Financial Analysis (Version 1.0.7)	2016
timeSeries: Financial Time Series Objects (Rmetrics) (Version 4032.109)	2008

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