PerformanceAnalytics - Econometric Tools for Performance and Risk Analysis
Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, 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.
Last updated 3 months ago
15.91 score 215 stars 19 dependents 4.8k scripts 31k downloadsPortfolioAnalytics - Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Portfolio optimization and analysis routines and graphics.
Last updated 3 months ago
11.49 score 81 stars 2 dependents 626 scripts 2.7k downloadsFinancialInstrument - Financial Instrument Model Infrastructure for R
Infrastructure for defining meta-data and relationships for financial instruments.
Last updated 7 years ago
4.99 score 19 stars 102 scripts 383 downloads