Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.
| Version: | 1.5.2 |
| Depends: | R (≥ 3.0.0), xts (≥ 0.10.0) |
| Imports: | methods, quadprog, zoo |
| Suggests: | dygraphs, Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, gplots, testthat |
| Published: | 2018-03-02 |
| Author: | Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb] |
| Maintainer: | Brian G. Peterson <brian at braverock.com> |
| License: | GPL-2 | GPL-3 |
| Copyright: | (c) 2004-2018 |
| URL: | https://github.com/braverock/PerformanceAnalytics |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| In views: | Finance |
| CRAN checks: | PerformanceAnalytics results |
| Reference manual: | PerformanceAnalytics.pdf |
| Vignettes: |
Estimation of Higher Order Moments Performance Attribution from Bacon PerformanceAnalytics Charts and Tables Reference PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 PerformanceAnalytics Data Mining Presentation - UseR - 2007 Portfolio Returns How to Present Tables in Plot Devices |
| Package source: | PerformanceAnalytics_1.5.2.tar.gz |
| Windows binaries: | r-devel: PerformanceAnalytics_1.5.2.zip, r-release: PerformanceAnalytics_1.5.2.zip, r-oldrel: PerformanceAnalytics_1.5.2.zip |
| OS X binaries: | r-release: PerformanceAnalytics_1.5.2.tgz, r-oldrel: PerformanceAnalytics_1.5.2.tgz |
| Old sources: | PerformanceAnalytics archive |
| Reverse depends: | PortfolioAnalytics, tidyquant |
| Reverse imports: | JFE, scRNAtools, SMNCensReg, tawny, tbl2xts |
| Reverse suggests: | cvar, Dowd, pbo, portsort, timeSeries |
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