PCRA: Companion to Portfolio Construction and Risk Analysis (original) (raw)
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 |
| License: | GPL-2 |
| Copyright: | (c) 2022-2023 |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | PCRA results |
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