Financial Risk Modelling and Portfolio Optimisation with R
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Documentation for package ‘FRAPO’ version 0.4-1
Help Pages
| BookEx | Utility functions for handling book examples |
| capser | Capping a series to bounds |
| capser-method | Capping a series to bounds |
| capser-methods | Capping a series to bounds |
| cr | Diversification Measures |
| dr | Diversification Measures |
| DrawDowns | Class '"PortDD"' |
| DrawDowns-method | Class '"PortDD"' |
| editEx | Utility functions for handling book examples |
| 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 |
| listEx | Utility functions for handling book examples |
| MIBTEL | Milano Indice Borsa Telematica |
| mrc | Marginal Contribution to Risk |
| MultiAsset | Multi Asset Index Data |
| NASDAQ | NASDAQ |
| PAveDD | Portfolio optimisation with average draw down constraint |
| PCDaR | Portfolio optimisation with conditional draw down at risk constraint |
| PERC | Equal risk contributed portfolios |
| PGMV | Global Minimum Variance Portfolio |
| plot | Class '"PortDD"' |
| plot-method | Class '"PortDD"' |
| plot-method | Methods for Function 'plot' in Package 'graphics' |
| plot-methods | Methods for Function 'plot' in Package 'graphics' |
| PMaxDD | Portfolio optimisation with maximum draw down constraint |
| PMD | Most Diversified Portfolio |
| PMinCDaR | Portfolio optimisation for minimum conditional draw down at risk |
| PMTD | Minimum Tail Dependent Portfolio |
| PortAdd-class | Class '"PortAdd"' |
| PortCdd-class | Class '"PortCdd"' |
| PortDD-class | Class '"PortDD"' |
| PortMdd-class | Class '"PortMdd"' |
| PortSol-class | Class '"PortSol"' |
| returnconvert | Convert Returns from continuous to discrete and vice versa |
| returnconvert-method | Convert Returns from continuous to discrete and vice versa |
| returnconvert-methods | Convert Returns from continuous to discrete and vice versa |
| returnseries | Continuous and discrete returns |
| returnseries-method | Continuous and discrete returns |
| returnseries-methods | Continuous and discrete returns |
| rhow | Diversification Measures |
| runEx | Utility functions for handling book examples |
| saveEx | Utility functions for handling book examples |
| show-method | Class '"PortSol"' |
| showEx | Utility functions for handling book examples |
| Solution | Class '"PortSol"' |
| Solution-method | Class '"PortSol"' |
| SP500 | Standard & Poor's 500 |
| sqrm | Square root of a quadratic matrix |
| StockIndex | Stock Index Data |
| StockIndexAdj | Stock Index Data |
| StockIndexAdjD | Stock Index Data |
| tdc | Tail Dependence Coefficient |
| trdbilson | Bilson Trend |
| trdbilson-method | Bilson Trend |
| trdbilson-methods | Bilson Trend |
| trdbinary | Binary Trend |
| trdbinary-method | Binary Trend |
| trdbinary-methods | Binary Trend |
| trdes | Exponentially Smoothed Trend |
| trdes-method | Exponentially Smoothed Trend |
| trdes-methods | Exponentially Smoothed Trend |
| trdhp | Hodrick-Prescott Filter |
| trdhp-method | Hodrick-Prescott Filter |
| trdhp-methods | Hodrick-Prescott Filter |
| trdsma | Simple Moving Average |
| trdsma-method | Simple Moving Average |
| trdsma-methods | Simple Moving Average |
| trdwma | Weighted Moving Average |
| trdwma-method | Weighted Moving Average |
| trdwma-methods | Weighted Moving Average |
| update-method | Class '"PortSol"' |
| Weights | Class '"PortSol"' |
| Weights-method | Class '"PortSol"' |