Companion to Portfolio Construction and Risk Analysis


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Documentation for package ‘PCRA’ version 1.1

Help Pages

barplotWts A Barplot of a Set of Portfolio Weights
bootEfronts Bootstrapped Efficient Frontiers
chart.Efront Create Efficient Frontier
cleanOutliers Clean Returns Outliers
crsp.returns8 crsp.returns8
divHHI HHI Based Diversification Index
factorsSPGMI factorsSPGMI
FRBinterestRates Federal Reserve Board Interest Rates
getPCRAData Download CRSP and SPGMI Data
gfunds5 gfunds5
invensysEPS Earnings per Share of Invensys
KRest Kurtosis Estimator
levgLongShort Long Short Portfolio Leverage
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
opt.outputMvo Optimal Portfolio Weights and Performance
plotLSandRobustSFM Robust and Least Square Single Factor Model (SFM) Fits
qqnormDatWindat qqnormDatWindat
retDD Stock with Ticker DD
retEDS Stock with Ticker EDS
retMER Stock with Ticker MER
returnsCRSPxts Select CRSP Stocks Returns
retVHI Stock with Ticker VHI
selectCRSPandSPGMI Select and merge data from the stocksCRSP and factorsSPGMI data sets
SKest Skewness estimator
SP400Industrials SP400Industrials
SP425Industrials SP425Industrials
SP500 SP500
SP500data SP500data
SP500from1967to2007 SP500from1967to2007
SPIndustrials SPIndustrials
stocksCRSP stocksCRSP
stocksCRSPxts Select CRSP Stocks Returns
strategies Hedge Fund Strategies Returns
tsPlotMP Lattice Multi-Panel Time Series Plots
turnOver Portfolio Turnover
winsorize Winsorize Data
winsorMean Winsorized Mean