Companion to Portfolio Construction and Risk Analysis
Optimal Portfolio Weights and Performance
PCRA: Companion to Portfolio Construction and Risk Analysis
Robust and Least Square Single Factor Model (SFM) Fits
qqnormDatWindat
Select CRSP Stocks Returns
Select and merge data from the stocksCRSP and factorsSPGMI data sets
Skewness estimator
Select CRSP Stocks Returns
Lattice Multi-Panel Time Series Plots
Portfolio Turnover
Winsorize Data
Winsorized Mean
A Barplot of a Set of Portfolio Weights
Bootstrapped Efficient Frontiers
Create Efficient Frontier
Clean Returns Outliers
HHI Based Diversification Index
Overlaid Correlations Ellipses Plots
Download CRSP and SPGMI Data
Kurtosis Estimator
Long Short Portfolio Leverage
Efficient Frontiers from Returns
Math Efficient Frontier: Cash and Risky Assets
Efficient Frontier of Risky Stocks
Efficient Frontier
Global Minimum Variance Portfolio (GMV)
Global Minimum Variance Portfolios From Mu and Cov
Tangency Portfolio Weights
Efficient Frontier Portfolio Weights Vectors
Efficient Frontier Portfolio Weights Vectors
Four Types of Mean Returns
A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.