Companion to Portfolio Construction and Risk Analysis
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Documentation for package ‘PCRA’ version 1.3.1
- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
Help Pages
| abbreviate_name | Abbreviate a vector of names |
| barplotWts | A Barplot of a Set of Portfolio Weights |
| bootEfronts | Bootstrapped Efficient Frontiers |
| buildPortfolios | Build a List of Portfolio Specifications (Default Example) |
| BXMdata | CBOE S&P 500 BuyWrite Index |
| CboeOptionStrategies | CboeOptionStrategies |
| chart.Efront | Create Efficient Frontier |
| cleanOutliers | Clean Returns Outliers Effectively |
| ConferenceBoardETI | ConferenceBoardETI |
| crsp.returns8 | CRSP Returns for 8 stocks in 4 cap groups |
| CRSPLiquidMktCapGrpsCnts | CRSP Stocks Cap Groups Counts |
| datFF3W | Fama-French 3-Factor Model Weekly Time Series |
| datFF4W | Fama-French 4-Factor Model Weekly Time Series |
| divHHI | HHI Based Diversification Index |
| ellipsesPlotPCRA.covfm | Overlaid Correlations Ellipses Plots |
| ewmaMeanVol | EWMA Mean and Volatility |
| factorsSPGMI | SPGMI Data 14 Factors for 294 Stocks |
| FRBinterestRates | Federal Reserve Board Interest Rates |
| getPCRAData | Download CRSP and SPGMI Data |
| gfunds5 | Five German Investment Funds |
| HFstrategies | Hedge Fund Strategies Returns |
| invensysEPS | Invensys Earnings per Share |
| KRest | Kurtosis Estimator |
| levgLongShort | Long Short Portfolio Leverage |
| MarketData | Global Baskets of Equity and Bonds |
| 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 |
| minVarCashRisky | Minimum Variance Portfolio |
| minVarRiskyLO | Title Minimum Variance Long-Only Risky Assets Portfolio |
| opt.outputMvoPCRA | Optimal Portfolio Weights and Performance |
| plotLSandHuberRobustSFM | Plot LS and Huber SFM Fits |
| plotLSandRobustSFM | Robust and Least Square Single Factor Model (SFM) Fits |
| psiHuber | Huber psi function |
| qqnormDatWindat | qqnormDatWindat |
| retDD | CRSP Returns of Stock with Ticker DD |
| retEDS | CRSP Returns of Stock with Ticker EDS |
| retFNB | CRSP Returns of Stock with Ticker FNB |
| retKBH | CRSP Returns of Stock with Ticker KBH |
| retMER | CRSP Returns of Stock with Ticker MER |
| retOFG | CRSP Returns of Stock with Ticker OFG |
| retPSC | CRSP Returns of Stock with Ticker PSC |
| returnsCRSPxts | Select CRSP Stocks Returns |
| retVHI | CRSP Returns of Stock with Ticker VHI |
| retWTS | CRSP Returns of Stock with Ticker WTS |
| runMultipleBacktests | Run Multiple Portfolio Backtests and Plot |
| runPortfolioBacktest | Run Portfolio Backtest and Plot |
| selectCRSPandSPGMI | Select and merge data from the stocksCRSP and factorsSPGMI data sets |
| ShortDurationCredit | ShortDurationCredit |
| SKest | Skewness estimator |
| SP400Industrials | SP400Industrials |
| SP425Industrials | SP425Industrials |
| SP500 | SP500 |
| SP500data | SP500data |
| SP500from1967to2007 | SP500from1967to2007 |
| SPIndustrials | SPIndustrials |
| stocksCRSPdaily | CRSP daily stocks data for 294 stocks |
| stocksCRSPmonthly | stocksCRSPmonthly |
| stocksCRSPweekly | CRSP weekly stocks data for 294 stocks |
| stocksCRSPxts | Select CRSP Stocks Returns |
| to_monthly | Function to convert from daily to weekly returns. |
| to_weekly | Function to convert from daily to weekly returns. |
| transferCoef | Transfer Coefficent |
| tsPlotMP | Lattice Multi-Panel Time Series Plots |
| turnOver | Portfolio Turnover |
| update_dev_pkg | Update to Developer version on Github that have access to additional functions and data |
| USTreasuryTradeweb | USTreasuryTradeweb |
| winsorize | Winsorize Data |
| winsorMean | Winsorized Mean |