R: Financial Risk Modelling and Portfolio Optimisation with R

# Financial Risk Modelling and Portfolio Optimisation with R

## Documentation for package ‘FRAPO’ version 0.4-2

- DESCRIPTION file

## Help Pages

BookEx | Utility functions for handling book examples
capser | Capping a series to bounds
capser-method | Capping a series to bounds
capser-methods | Capping a series to bounds
cr | Diversification Measures
dr | Diversification Measures
DrawDowns | Class '"PortDD"'
DrawDowns-method | Class '"PortDD"'
editEx | Utility functions for handling book examples
ESCBFX | ESCB FX Reference Rates
EuroStoxx50 | EURO STOXX 50
FTSE100 | FTSE 100
INDTRACK1 | INDTRACK1: Hang Seng Index and Constituents
INDTRACK2 | INDTRACK2: DAX 100 Index and Constituents
INDTRACK3 | INDTRACK3: FTSE 100 Index and Constituents
INDTRACK4 | INDTRACK4: S&P 100 Index and Constituents
INDTRACK5 | INDTRACK5: Nikkei 225 Index and Constituents
INDTRACK6 | INDTRACK6: S&P 500 Index and Constituents
listEx | Utility functions for handling book examples
MIBTEL | Milano Indice Borsa Telematica
mrc | Marginal Contribution to Risk
MultiAsset | Multi Asset Index Data
NASDAQ | NASDAQ
PAveDD | Portfolio optimisation with average draw down constraint
PCDaR | Portfolio optimisation with conditional draw down at risk constraint
PERC | Equal risk contributed portfolios
PGMV | Global Minimum Variance Portfolio
plot | Class '"PortDD"'
plot-method | Class '"PortDD"'
plot-method | Methods for Function 'plot' in Package 'graphics'
plot-methods | Methods for Function 'plot' in Package 'graphics'
PMaxDD | Portfolio optimisation with maximum draw down constraint
PMD | Most Diversified Portfolio
PMinCDaR | Portfolio optimisation for minimum conditional draw down at risk
PMTD | Minimum Tail Dependent Portfolio
PortAdd-class | Class '"PortAdd"'
PortCdd-class | Class '"PortCdd"'
PortDD-class | Class '"PortDD"'
PortMdd-class | Class '"PortMdd"'
PortSol-class | Class '"PortSol"'
returnconvert | Convert Returns from continuous to discrete and vice versa
returnconvert-method | Convert Returns from continuous to discrete and vice versa
returnconvert-methods | Convert Returns from continuous to discrete and vice versa
returnseries | Continuous and discrete returns
returnseries-method | Continuous and discrete returns
returnseries-methods | Continuous and discrete returns
rhow | Diversification Measures
runEx | Utility functions for handling book examples
saveEx | Utility functions for handling book examples
show-method | Class '"PortSol"'
showEx | Utility functions for handling book examples
Solution | Class '"PortSol"'
Solution-method | Class '"PortSol"'
SP500 | Standard & Poor's 500
sqrm | Square root of a quadratic matrix
StockIndex | Stock Index Data
StockIndexAdj | Stock Index Data
StockIndexAdjD | Stock Index Data
tdc | Tail Dependence Coefficient
trdbilson | Bilson Trend
trdbilson-method | Bilson Trend
trdbilson-methods | Bilson Trend
trdbinary | Binary Trend
trdbinary-method | Binary Trend
trdbinary-methods | Binary Trend
trdes | Exponentially Smoothed Trend
trdes-method | Exponentially Smoothed Trend
trdes-methods | Exponentially Smoothed Trend
trdhp | Hodrick-Prescott Filter
trdhp-method | Hodrick-Prescott Filter
trdhp-methods | Hodrick-Prescott Filter
trdsma | Simple Moving Average
trdsma-method | Simple Moving Average
trdsma-methods | Simple Moving Average
trdwma | Weighted Moving Average
trdwma-method | Weighted Moving Average
trdwma-methods | Weighted Moving Average
update-method | Class '"PortSol"'
Weights | Class '"PortSol"'
Weights-method | Class '"PortSol"'