barplotWts |
A Barplot of a Set of Portfolio Weights |
bootEfronts |
Bootstrapped Efficient Frontiers |
chart.Efront |
Create Efficient Frontier |
cleanOutliers |
Clean Returns Outliers |
crsp.returns8 |
crsp.returns8 |
datFF3W |
Fama-French Weekly 3-Factor Model |
datFF4W |
Fama-French-Carhart Weekly 4-Factor Model |
divHHI |
HHI Based Diversification Index |
ellipsesPlotPCRA.covfm |
Overlaid Correlations Ellipses Plots |
factorsSPGMI |
factorsSPGMI |
FRBinterestRates |
Federal Reserve Board Interest Rates |
getPCRAData |
Download CRSP and SPGMI Data |
gfunds5 |
gfunds5 |
invensysEPS |
Earnings per Share of Invensys |
KRest |
Kurtosis Estimator |
levgLongShort |
Long Short Portfolio Leverage |
mathEfront |
Efficient Frontiers from Returns |
mathEfrontCashRisky |
Math Efficient Frontier: Cash and Risky Assets |
mathEfrontRisky |
Efficient Frontier of Risky Stocks |
mathEfrontRiskyMuCov |
Efficient Frontier |
mathGmv |
Global Minimum Variance Portfolio (GMV) |
mathGmvMuCov |
Global Minimum Variance Portfolios From Mu and Cov |
mathTport |
Tangency Portfolio Weights |
mathWtsEfrontRisky |
Efficient Frontier Portfolio Weights Vectors |
mathWtsEfrontRiskyMuCov |
Efficient Frontier Portfolio Weights Vectors |
meanReturns4Types |
Four Types of Mean Returns |
opt.outputMvoPCRA |
Optimal Portfolio Weights and Performance |
plotLSandRobustSFM |
Robust and Least Square Single Factor Model (SFM) Fits |
qqnormDatWindat |
qqnormDatWindat |
retDD |
Stock with Ticker DD |
retEDS |
Stock with Ticker EDS |
retFNB |
Stock with Ticker FNB |
retKBH |
Stock with Ticker KBH |
retMER |
Stock with Ticker MER |
retOFG |
Stock with Ticker OFG |
retPSC |
Stock with Ticker PSC |
returnsCRSPxts |
Select CRSP Stocks Returns |
retVHI |
Stock with Ticker VHI |
retWTS |
Stock with Ticker WTS |
selectCRSPandSPGMI |
Select and merge data from the stocksCRSP and factorsSPGMI data sets |
SKest |
Skewness estimator |
SP400Industrials |
SP400Industrials |
SP425Industrials |
SP425Industrials |
SP500 |
SP500 |
SP500from1967to2007 |
SP500from1967to2007 |
SPIndustrials |
SPIndustrials |
stocksCRSP |
stocksCRSP |
stocksCRSPxts |
Select CRSP Stocks Returns |
strategies |
Hedge Fund Strategies Returns |
tsPlotMP |
Lattice Multi-Panel Time Series Plots |
turnOver |
Portfolio Turnover |
winsorize |
Winsorize Data |
winsorMean |
Winsorized Mean |