Econometric Tools to Measure Portfolio Diversification

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Documentation for package ‘DiversificationR’ version 0.1.0

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data_efficient_portfolios_returns Efficient portfolios returns
f_circular_bloc_bootstrap Function computing a circular block bootstrap
f_diversification_measurement Function computing portfolio diversification measures
f_RSRL Function computing the RSRL or the RSRL
f_SR Function computing the Sharpe ratio or one of its modified version
f_test_RSRL Function computing coefficients and significance levels of the RSRL and mRSRL
f_VaR Function computing Value-at-Risk and modified Value-at-Risk