PerformanceAnalytics (1.5.3)

7 users

Econometric Tools for Performance and Risk Analysis.

https://github.com/braverock/PerformanceAnalytics
http://cran.r-project.org/web/packages/PerformanceAnalytics

Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, 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.

Maintainer: Brian G. Peterson
Author(s): 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]

License: GPL-2 | GPL-3

Uses: quadprog, xts, zoo, Hmisc, gamlss.dist, gamlss, gplots, quantmod, quantreg, robustbase, MASS, testthat, dygraphs
Reverse depends: PortfolioAnalytics, tawny, tidyquant
Reverse suggests: cvar, Dowd, ExtDist, portsort, tawny, timeSeries

Released 3 months ago.


12 previous versions

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  3.8/5 (5 votes)

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