Companion to Portfolio Construction and Risk Analysis
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Documentation for package ‘PCRA’ version 1.2
- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
Help Pages
| 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 |