PCRA-package

PCRA: Companion to Portfolio Construction and Risk Analysis

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. package

Author(s)

Maintainer : Doug Martin martinrd3d@gmail.com

Authors:

• Kirk Li cocokecoli@gmail.com [contributor]

Other contributors:

• Alexios Galanos alexios@4dscape.com [contributor]
• Jon Spinney Jon.Spinney@vestcor.org [contributor]
• Thomas Philips tkpmep@gmail.com [contributor]