PerformanceAnalytics (1.1.0)

Econometric tools for performance and risk analysis..

http://r-forge.r-project.org/projects/returnanalytics/
http://cran.r-project.org/web/packages/PerformanceAnalytics

Collection of econometric functions for performance and risk analysis. 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): Peter Carl, Brian G. Peterson

License: GPL

Uses: xts, zoo, Hmisc, ff, gplots, quadprog, quantreg, robustbase, tseries, sn, MASS
Reverse depends: PortfolioAnalytics, tawny, tidyquant
Reverse suggests: cvar, Dowd, ExtDist, portsort, tawny, timeSeries

Released almost 7 years ago.