Financial Risk Modelling and Portfolio Optimisation with R
Utility functions for handling book examples
Capping a series to bounds
Diversification Measures
Marginal Contribution to Risk
Portfolio optimisation with average draw down constraint
Portfolio optimisation with conditional draw down at risk constraint
Equal risk contributed portfolios
Global Minimum Variance Portfolio
Methods for Function plot in Package graphics
Portfolio optimisation with maximum draw down constraint
Most Diversified Portfolio
Portfolio optimisation for minimum conditional draw down at risk
Minimum Tail Dependent Portfolio
Class "PortAdd"
Class "PortCdd"
Class "PortDD"
Class "PortMdd"
Class "PortSol"
Convert Returns from continuous to discrete and vice versa
Continuous and discrete returns
Square root of a quadratic matrix
Tail Dependence Coefficient
Bilson Trend
Binary Trend
Exponentially Smoothed Trend
Hodrick-Prescott Filter
Simple Moving Average
Weighted Moving Average
Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.