PerformanceAnalytics (0.9.6)

Econometric tools for performance and risk analysis..

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

Author(s): Peter Carl, Brian G. Peterson

License: GPL

Uses: fBasics, fPortfolio, Hmisc, tseries, zoo, fExtremes, quadprog
Reverse depends: PortfolioAnalytics, tawny, tidyquant
Reverse suggests: cvar, Dowd, ExtDist, portsort, tawny, timeSeries

Released over 11 years ago.