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 1 months ago
15.96 score 209 stars 23 packages 4.6k scripts 41k downloadsPortfolioAnalytics - Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Portfolio optimization and analysis routines and graphics.
Last updated 18 days ago
11.45 score 78 stars 2 packages 672 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
4.96 score 18 stars 102 scripts 757 downloads