PerformanceAnalytics (0.9.6)

Econometric tools for performance and risk analysis..

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

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 about 11 years ago.