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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.
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16.13 score 239 stars 22 dependents 5.2k scripts 25k downloadsPortfolioAnalytics - Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Portfolio optimization and analysis routines and graphics.
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quarto
11.26 score 105 stars 2 dependents 941 scripts 1.4k downloads